The split of the S&P 500 futures contract: Effects on liquidity and market dynamics

Review of Quantitative Finance and Accounting

Volumn 21, Issue 4, 2003, Pages 323-348

  Karagozoglu, Ahmet K ^a   Martell, Terrence F ^b   Wang, George H K ^c  

^a HOFSTRA UNIVERSITY   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

^c Office of the Chief Economist   (United States)

Author keywords

Bid ask spreads; Contract size; Futures contract; Liquidity; S P 500 index; Tick size

Indexed keywords

EID: 4043067120     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REQU.0000004782.92370.89     Document Type: Article

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