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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).

Record type: Article

Abstract

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.

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More information

Published date: 6 January 2010
Additional Information: Article in Press
Keywords: high frequency data, futures, market microstructure, asymmetric information, order-driven

Identifiers

Local EPrints ID: 79290
URI: http://eprints.soton.ac.uk/id/eprint/79290
ISSN: 0275-5319
PURE UUID: 64c0f2ab-6f6e-4797-9d3b-b6c72780ab25

Catalogue record

Date deposited: 16 Mar 2010
Last modified: 18 Jul 2017 23:18

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Contributors

Author: Frank McGroarty
Author: Owain ap Gwilym
Author: Steve Thomas

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