Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
We provide robust evidence of the impact on spot market liquidity and the pricing efciency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our fndings show a signifcant increase in unexpected trading volume and the speed of mean r...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/25163/1/Lower%20tick%20sizes%20and%20futures%20pricing%20efficiency%20%20evidence%20from%20the%20emerging%20Malaysian%20market.pdf |