Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market

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dc.contributor.authorPoshakwale, Sunil S.
dc.contributor.authorTaunson, Jude W.
dc.contributor.authorMandal, Anandadeep
dc.contributor.authorTheobald, Michael
dc.date.accessioned2020-03-17T11:22:04Z
dc.date.available2020-03-17T11:22:04Z
dc.date.freetoread2020-03-17
dc.date.issued2018-11-16
dc.description.abstractWe 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.en_UK
dc.identifier.citationPoshakwale SS, Taunson JW, Mandal A, Theobald M. (2019) Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market. Review of Quantitative Finance and Accounting, Volume 53, Issue 4, 2019, pp. 1135-1163en_UK
dc.identifier.cris22031595
dc.identifier.issn0924-865X
dc.identifier.urihttps://doi.org/10.1007/s11156-018-0777-7
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/15294
dc.language.isoenen_UK
dc.rightsAttribution-NonCommercial 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/*
dc.subjectIndex futuresen_UK
dc.subjectspeed of adjustmenten_UK
dc.subjectmean reversionen_UK
dc.subjectmarket microstructureen_UK
dc.subjectemerging marketsen_UK
dc.titleLower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian marketen_UK
dc.typeArticleen_UK

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