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Price clustering and bid-ask spreads in international bond futures

Record type: Article

We examine price clustering in government bond futures contracts traded at the London International Financial Futures and Options Exchange (LIFFE) and its impact on bid-ask spreads. This open outcry environment provides a rich dataset comprising all quotes and trades, in contrast to data from markets such as the Chicago Mercantile Exchange (CME), which only includes price-change transactions. The German and UK bond futures have low levels of price clustering, and bid-ask spreads are concentrated at the minimum tick size. In contrast, the Italian and Japanese contracts reveal considerably more clustering, and this coincides with wider spreads. We also present evidence on the relationship between the degree of price clustering and trade size

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Citation

Ap Gwilym, Owain, Clare, Andrew and Thomas, Stephen (1998) Price clustering and bid-ask spreads in international bond futures Journal of International Financial Markets, Institutions and Money, 3-4, (8), pp. 377-391. (doi:10.1016/S1042-4431(98)00045-6).

More information

Published date: 1998
Keywords: clustering, bid-ask spreads, futures

Identifiers

Local EPrints ID: 37363
URI: http://eprints.soton.ac.uk/id/eprint/37363
ISSN: 1042-4431
PURE UUID: 279289f8-3247-49bc-8e56-143e0953acdf

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Date deposited: 26 Apr 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Owain Ap Gwilym
Author: Andrew Clare
Author: Stephen Thomas

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