Small is beautiful? How the introduction of mini futures contracts affects the regular contract


Greppmair, Stefan ; Theissen, Erik



URL: https://www.econstor.eu/bitstream/10419/209651/1/1...
Additional URL: https://ideas.repec.org/p/zbw/cfrwps/1906.html
Document Type: Working paper
Year of publication: 2019
The title of a journal, publication series: CFR Working Paper
Volume: 19-06
Place of publication: Köln
Publishing house: Universität Köln, Centre for Financial Research
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: We analyze how the introduction of a mini futures contract affects the liquidity of the regular contract. We use a panel data set that covers more than 20 years and more than 20 contracts. We use a traditional difference-in-differences methodology as well as a synthetic control group approach (Abadie and Gardeazabal (2003), Abadie, Diamond and Hainmueller (2015)). We find that the liquidity of the regular contracts increases and the volatility decreases upon the introduction of a mini futures contract when the regular contract is traded electronically whereas the reverse is true when it is floor-traded. While total trading volume increases upon the introduction of the mini contract, the volume of the regular contracts does not change significantly. Overall, our results imply that the introduction of mini futures contracts is beneficial. They also confirm the superiority of electronic trading over floor-based trading.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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BASE: Greppmair, Stefan ; Theissen, Erik

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ORCID: Greppmair, Stefan ; Theissen, Erik ORCID: 0000-0003-4460-8168

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