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The impact of tick-size reductions in foreign currency futures markets

Valeria Martinez and Yiuman Tse

Finance Research Letters, 2019, vol. 28, issue C, 32-38

Abstract: The Chicago Mercantile Exchange (CME) recently reduced the tick sizes of three foreign currency futures contracts: the Mexican peso, the Japanese yen, and the euro. We examine the impact of tick-size reductions on market quality in these three futures contracts. We find significant evidence of increased market quality for the Mexican peso contracts, but less significant evidence for the other two contracts.

Keywords: Currency futures; Informed trading; Price discovery; Tick size (search for similar items in EconPapers)
JEL-codes: F31 G13 G14 G15 (search for similar items in EconPapers)
Date: 2019
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