Market structure and microstructure, in international interest rate futures markets

McGroarty, Frank, ap Gwilym, Owain and Thomas, Steve (2010) Market structure and microstructure, in international interest rate futures markets. Research in International Business and Finance (doi:10.1016/j.ribaf.2009.12.005).


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We examine the role of market structure in identifying microstructure features of the NYSE.Euronext LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market makers are present. The period we analyze includes data from pit based trading alongside electronic market data. We explore how market structure affects the way private information influences bid-ask spreads and return volatility. A second part of our study employs intraday correlation to investigate these links in greater depth, while a third part looks at how private information and trading noise contribute to price evolution.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/j.ribaf.2009.12.005
Additional Information: Article in Press
ISSNs: 0275-5319 (print)
Related URLs:
Keywords: high frequency data, futures, market microstructure, asymmetric information, order-driven
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions : University Structure - Pre August 2011 > School of Management
ePrint ID: 79290
Accepted Date and Publication Date:
6 January 2010Published
Date Deposited: 16 Mar 2010
Last Modified: 31 Mar 2016 13:15

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