Market structure and microstructure, in international interest rate futures markets

Frank McGroarty, Owain ap Gwilym and Steve Thomas

Research in International Business and Finance, 2010, vol. 24, issue 3, 253-266

Abstract: We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market makers are present. The period we analyze includes data from pit-based trading alongside electronic market data. We explore how market structure affects the way private information influences bid-ask spreads and return volatility. A second part of our study employs intraday correlation to investigate these links in greater depth, while a third part looks at how private information and trading noise contribute to price evolution.

Keywords: High; frequency; data; Futures; Market; microstructure; Asymmetric; information; Order-driven (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:24:y:2010:i:3:p:253-266

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