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

We provide robust evidence of the impact on spot market liquidity and the pricing efciency of FBM-FKLI index futures following the introduction of lower tick sizes for the stocks listed in the Bursa Malaysia. Our fndings show a signifcant increase in unexpected trading volume and the speed of mean r...

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Bibliographic Details
Main Authors: Sunil S. Poshakwale, Jude W. Taunson, Anandadeep Mandal, Michael Theobald
Format: Article
Language:English
Published: 2019
Subjects:
HB Economic theory. Demography
HG Finance
Online Access:https://eprints.ums.edu.my/id/eprint/25163/1/Lower%20tick%20sizes%20and%20futures%20pricing%20efficiency%20%20evidence%20from%20the%20emerging%20Malaysian%20market.pdf
https://eprints.ums.edu.my/id/eprint/25163/
https://doi.org/10.1007/s11156-018-0777-7
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https://eprints.ums.edu.my/id/eprint/25163/1/Lower%20tick%20sizes%20and%20futures%20pricing%20efficiency%20%20evidence%20from%20the%20emerging%20Malaysian%20market.pdf
https://eprints.ums.edu.my/id/eprint/25163/
https://doi.org/10.1007/s11156-018-0777-7

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