Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts

Article Abstract:

Intraday bid-ask spreads (BAS), volatility, and trading activity of thinly traded equity index futures contracts on the Singapore Exchange are investigated. A flat BAS pattern during the trading day is found, which widens with an increase in risk and decreases with a higher trading activity.

Contracts & orders received, Singapore, Contracts & orders let, Contracts, Contract agreement, Singapore Exchange Ltd.

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Discretionary government intervention and the mispricing of index futures

Article Abstract:

Direct market intervention by the Hong Kong government impeded the arbitrage efficiency during and immediately after it. The continued disruption following the intervention stems from a poorly developed stock loan market and lack of liquidity in the market.

Hong Kong

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Limit order book transparency, execution risk, and market liquidity: evidence from the Sydney Futures Exchange

Article Abstract:

With reference to a study on Sydney Futures Exchange, the impact of disclosing limit order information on futures markets' uncertainities and market liquidity is examined.

Australia, Market information - general, Case studies, Risk (Economics), Securities, Liquidity (Finance), Sydney Futures Exchange, Inventory data

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• Abstracts: Natural seclection and market efficiency in a futures market with random shocks. The economic advantages of learners in a spot/ futures market

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