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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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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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spelling my.ums.eprints.251632020-03-10T02:14:59Z https://eprints.ums.edu.my/id/eprint/25163/ Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market Sunil S. Poshakwale Jude W. Taunson Anandadeep Mandal Michael Theobald HB Economic theory. Demography HG Finance 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 reversion of the futures mispricing. We fnd that the increase in the unexpected trading volume of the underlying stocks helps in reducing intermarket price discrepancies. The fndings ofer new evidence that lowering of tick sizes improves pricing efciency in the Malaysian futures market. 2019 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/25163/1/Lower%20tick%20sizes%20and%20futures%20pricing%20efficiency%20%20evidence%20from%20the%20emerging%20Malaysian%20market.pdf Sunil S. Poshakwale and Jude W. Taunson and Anandadeep Mandal and Michael Theobald (2019) Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market. Review of Quantitative Finance and Accounting, 53. pp. 1135-1163. https://doi.org/10.1007/s11156-018-0777-7
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
topic HB Economic theory. Demography
HG Finance
spellingShingle HB Economic theory. Demography
HG Finance
Sunil S. Poshakwale
Jude W. Taunson
Anandadeep Mandal
Michael Theobald
Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
description 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 reversion of the futures mispricing. We fnd that the increase in the unexpected trading volume of the underlying stocks helps in reducing intermarket price discrepancies. The fndings ofer new evidence that lowering of tick sizes improves pricing efciency in the Malaysian futures market.
format Article
author Sunil S. Poshakwale
Jude W. Taunson
Anandadeep Mandal
Michael Theobald
author_facet Sunil S. Poshakwale
Jude W. Taunson
Anandadeep Mandal
Michael Theobald
author_sort Sunil S. Poshakwale
title Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
title_short Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
title_full Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
title_fullStr Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
title_full_unstemmed Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market
title_sort lower tick sizes and futures pricing efficiency: evidence from the emerging malaysian market
publishDate 2019
url 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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score 13.160551

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