A Reverse Index Futures Split Effect on Liquidity and Market Dynamics

19 Pages Posted: 21 Jun 2017

See all articles by Athanasios Fassas

Athanasios Fassas

University of Thessaly; Hellenic Open University

Nikolaos L. Hourvouliades

American College of Thessaloniki

Date Written: June 20, 2017

Abstract

This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has been limited empirical research on this topic.

The particular change of contract specifications provides this study with a unique opportunity to investigate the impact of contract size on futures market characteristics. Our empirical findings suggest that although the change in the size of the futures contract have resulted in lower trading costs, it did not spur investors’ interest in the Greek derivatives market. The results of this study have significant practical relevance in terms of futures market design decisions.

Keywords: Futures market microstructure, FTSE/ATHEX Large Cap Index, Reverse Split, Bid-Ask Spread, Trading Volume, Volatility

JEL Classification: C50, G12, G14, G15

Suggested Citation

Fassas, Athanasios and Hourvouliades, Nikolaos L., A Reverse Index Futures Split Effect on Liquidity and Market Dynamics (June 20, 2017). Available at SSRN: https://ssrn.com/abstract=2989626 or http://dx.doi.org/10.2139/ssrn.2989626

Athanasios Fassas (Contact Author)

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos, 41110
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335
Greece

Nikolaos L. Hourvouliades

American College of Thessaloniki ( email )

Thessaloniki, 55510
Greece

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