Universität zu Köln

Greppmair, Stefan and Theissen, Erik ORCID: 0000-0003-4460-8168 (2022). Small is beautiful? How the introduction of mini futures contracts affects the regular contracts. J. Empir. Financ., 67. S. 19 - 39. AMSTERDAM: ELSEVIER. ISSN 1879-1727

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Abstract

Using panel data covering 27 years and more than 20 contracts, we analyze how the introduction of mini futures contracts affects the liquidity of the regular contracts. The liquidity of the regular contracts increases and the volatility decreases while the trading volume does not change significantly. Further analysis reveals that only those regular contracts that are traded electronically benefit from the introduction of a mini contract. Our results imply that increased fragmentation is not necessarily harmful to market quality and they reveal a preference of traders for electronic trading protocols.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Greppmair, Stefan UNSPECIFIED UNSPECIFIED UNSPECIFIED Theissen, Erik UNSPECIFIED orcid.org/0000-0003-4460-8168 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-666520
DOI:	10.1016/j.jempfin.2021.08.003
Journal or Publication Title:	J. Empir. Financ.
Volume:	67
Page Range:	S. 19 - 39
Date:	2022
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1879-1727
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language BID-ASK SPREADS; INDEX FUTURES; MARKET LIQUIDITY; TRADING ACTIVITY; PRICE DISCOVERY; COMPETITION; VOLATILITY; INNOVATION; IMPACT; US Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/66652