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

DOI:	https://doi.org/10.1016/j.jempfin.2021.08.003
URL:	https://www.sciencedirect.com/science/article/abs/...
Document Type:	Article
Year of publication:	2022
The title of a journal, publication series:	Journal of Empirical Finance
Volume:	67
Page range:	19-38
Place of publication:	Amsterdam [u.a.]
Publishing house:	Elsevier
ISSN:	0927-5398
Publication language:	English
Institution:	Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject:	330 Economics
Abstract:	Using panel data covering 27 years and more than 20 contracts, we analyze how the introduction of mini futures contracts affects the liquidity of the regular contracts. The liquidity of the regular contracts increases and the volatility decreases while the trading volume does not change significantly. Further analysis reveals that only those regular contracts that are traded electronically benefit from the introduction of a mini contract. Our results imply that increased fragmentation is not necessarily harmful to market quality and they reveal a preference of traders for electronic trading protocols.

Dieser Eintrag ist Teil der Universitätsbibliographie.

BASE: Greppmair, Stefan ; Theissen, Erik

Google Scholar: Greppmair, Stefan ; Theissen, Erik

ORCID: Greppmair, Stefan ; Theissen, Erik

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