The University of Southampton
University of Southampton Institutional Repository

Structural changes, bid-ask spread composition and tick size in inter-bank futures trading

McGroarty, Frank, ap Gwilym, Owain and Thomas, Stephen (2011) Structural changes, bid-ask spread composition and tick size in inter-bank futures trading European Journal of Finance, 17, (4), pp. 285-306. (doi:10.1080/1351847X.2010.481465).

Record type: Article


This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract, (2) European Monetary Union and (3) the transition from open outcry to electronic trading. We analyse a number of microstructure features of the four largest European interest rate futures contracts throughout this period. In particular, we focus on bid–ask spread composition using a recent model which is appropriate for this market structure. Our analysis identifies the tick size as the largest bid–ask spread component in almost every instance, which suggests that participants in this STIR future market might benefit from a reduction in minimum tick sizes.

Full text not available from this repository.

More information

e-pub ahead of print date: 28 June 2010
Published date: 2011
Keywords: bid–ask spreads, futures, market microstructure, price clustering, tick size
Organisations: Centre for Digital, Interactive & Data Driven Marketing, Management


Local EPrints ID: 79324
ISSN: 1351-847X
PURE UUID: 74e277a1-3350-46d8-82f6-4bc1f93de542

Catalogue record

Date deposited: 19 Mar 2010
Last modified: 18 Jul 2017 23:18

Export record


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.