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 |