Price clustering and bid-ask spreads in international bond futures

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).


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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

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/S1042-4431(98)00045-6
ISSNs: 1042-4431 (print)
Keywords: clustering, bid-ask spreads, futures
ePrint ID: 37363
Date :
Date Event
Date Deposited: 26 Apr 2007
Last Modified: 16 Apr 2017 22:03
Further Information:Google Scholar

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