Futures market transaction costs

Article Abstract:

An analysis of Chicago Mercantile Exchange futures contracts shows that the Roll's estimator and Smith and Whalley estimator of future transaction costs are not applicable to the futures market. Inter-customer trading and the effects arising from the minimum tick are two factors which cause the discrepancy. Transaction costs are important for regulatory evaluation. The failure of the two methods of estimating transaction costs for future contracts points out the need to develop other methods.

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Splitting the S&P 500 futures

Article Abstract:

The effects of the redesigning of S&P 500 futures contract by Chicago Mercantile Exchange on future market incomes and customer value are examined. It is concluded that there is a significant increase in the effective bid-ask spread

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Liquidity supply and volatility: futures market evidence

Article Abstract:

Issues concerning a study of futures markets are discussed with emphasis on the supply of liquidity. The effect of changes in price volatility on these markets was explored to reveal that there is little impact on trading costs.

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