Stock index futures in Malaysia: does tick size reduction matters?
| dc.contributor.advisor | Poshakwale, Sunil S. | |
| dc.contributor.author | Taunson, Jude W. | |
| dc.date.accessioned | 2016-05-12T11:41:04Z | |
| dc.date.available | 2016-05-12T11:41:04Z | |
| dc.date.issued | 2015-11-02 | |
| dc.description.abstract | This thesis investigates the impact of tick size reduction on spot index liquidity and in turn on the inter-market pricing relationship between spot and futures indices. Three empirical chapters are presented. The first study investigates the impact on the spot index liquidity in emerging Malaysian capital market. To the best of our knowledge, we are first to investigate this issue. We find higher trading volume following tick size reduction. Further, we find lower mispricing between the spot and futures indices after the reduction. This is an indication that traders benefit from the lower tick sizes. In our second study, the price discovery role of the index futures is assessed. We find that the index futures adjust to equilibrium level ahead of its underlying. Interestingly, the spot index adjusts to equilibrium level at a higher speed in comparison to pre-reduction period. This implies that the lowering of tick sizes facilitates better incorporation of stock specific information. Altogether, the lowering of tick sizes seems to improve index futures price discovery role. In our third paper, we investigate the effectiveness of the index futures as a hedging instrument. We find evidence that the ability of the futures in reducing price risk is greatly enhanced due to the positive impacts of the lower tick sizes. | en_UK |
| dc.identifier.uri | http://dspace.lib.cranfield.ac.uk/handle/1826/9886 | |
| dc.language.iso | en | en_UK |
| dc.publisher | Cranfield University | en_UK |
| dc.rights | © Cranfield University, 2015. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright holder. | en_UK |
| dc.title | Stock index futures in Malaysia: does tick size reduction matters? | en_UK |
| dc.type | Thesis or dissertation | en_UK |
| dc.type.qualificationlevel | Doctoral | en_UK |
| dc.type.qualificationname | PhD | en_UK |