Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts
Journal of Futures Markets, pp. 455-486, May 2003
Posted: 29 Jul 2003
In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.
Note: This is a description of the paper and not the actual abstract.
Keywords: Thinly traded futures contracts, Bid-ask spreads, Singapore Exchange
JEL Classification: G15, N25
Suggested Citation: Suggested Citation