Browsing by Author "Theobald, Michael"

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    Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
    (2018-11-16) Poshakwale, Sunil S.; Taunson, Jude W.; Mandal, Anandadeep; Theobald, Michael
    We provide robust evidence of the impact on spot market liquidity and the pricing efficiency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our findings show a significant increase in unexpected trading volume and the speed of mean reversion of the futures mispricing. We find that the increase in the unexpected trading volume of the underlying stocks helps in reducing inter-market price discrepancies. The findings offer new evidence that lowering of tick sizes improves pricing efficiency in the Malaysian futures market.