Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange
This paper investigates the relationship between the minimum price variation and marketquality variables for 3 interest rate futures contracts on the Sydney Futures Exchange.Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002,which includes the change in tran...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2007-12-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/aabfj/vol1/iss4/2 |
| _version_ | 1811240038444302336 |
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| author | Andrew Tan Alex Frino Elvis Jarnecic |
| author_facet | Andrew Tan Alex Frino Elvis Jarnecic |
| author_sort | Andrew Tan |
| collection | DOAJ |
| description | This paper investigates the relationship between the minimum price variation and marketquality variables for 3 interest rate futures contracts on the Sydney Futures Exchange.Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002,which includes the change in transparency on 19 January 2001. Analysis of the frequencydistributions of bid and ask quote variations show a high frequency of these variations postedat 1 tick in the sample periods. Analysis of the quoted bid-ask spreads also show a highfrequency of spreads posted at 1 tick. These evidence suggest that the tick sizes for thesefutures contracts are too large. Examination of the relationships between dollar spreads anddollar ticks provide further evidence that dollar spreads are constrained by the tick size. Dollarspreads are found to be positively related to dollar ticks, average quoted depth and trade pricevolatility, and negatively related to traded volume. |
| first_indexed | 2024-04-12T13:12:27Z |
| format | Article |
| id | doaj.art-de25c2e882f74af19f8fee9efdde97e8 |
| institution | Directory Open Access Journal |
| issn | 1834-2000 1834-2019 |
| language | English |
| last_indexed | 2024-04-12T13:12:27Z |
| publishDate | 2007-12-01 |
| publisher | University of Wollongong |
| record_format | Article |
| series | Australasian Accounting, Business and Finance Journal |
| spelling | doaj.art-de25c2e882f74af19f8fee9efdde97e82022-12-22T03:31:49ZengUniversity of WollongongAustralasian Accounting, Business and Finance Journal1834-20001834-20192007-12-01141639Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures ExchangeAndrew TanAlex FrinoElvis JarnecicThis paper investigates the relationship between the minimum price variation and marketquality variables for 3 interest rate futures contracts on the Sydney Futures Exchange.Intraday trade and quote data are obtained for the period 4 January 2000 and 1 February 2002,which includes the change in transparency on 19 January 2001. Analysis of the frequencydistributions of bid and ask quote variations show a high frequency of these variations postedat 1 tick in the sample periods. Analysis of the quoted bid-ask spreads also show a highfrequency of spreads posted at 1 tick. These evidence suggest that the tick sizes for thesefutures contracts are too large. Examination of the relationships between dollar spreads anddollar ticks provide further evidence that dollar spreads are constrained by the tick size. Dollarspreads are found to be positively related to dollar ticks, average quoted depth and trade pricevolatility, and negatively related to traded volume.http://ro.uow.edu.au/aabfj/vol1/iss4/2Minimum price variationtickdepthvolatilitybid-ask spreadfutures market |
| spellingShingle | Andrew Tan Alex Frino Elvis Jarnecic Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange Australasian Accounting, Business and Finance Journal Minimum price variation tick depth volatility bid-ask spread futures market |
| title | Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange |
| title_full | Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange |
| title_fullStr | Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange |
| title_full_unstemmed | Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange |
| title_short | Analysis of the Tick Size and the Impact of Varying Dollar Ticks on Market Quality – Evidence from the Sydney Futures Exchange |
| title_sort | analysis of the tick size and the impact of varying dollar ticks on market quality evidence from the sydney futures exchange |
| topic | Minimum price variation tick depth volatility bid-ask spread futures market |
| url | http://ro.uow.edu.au/aabfj/vol1/iss4/2 |
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