The successful redenomination of a futures contract

The case of the Australian all ordinaries share price index futures contract

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Abstract

This paper examines the economic consequences of the change in the specifications of the Sydney Futures Exchange Share Price Index futures contract that occurred on 11 October 1993. The scale of the contract was changed, while at the same time the minimum tick size was increased. Futures market intervention to change the specifications of a futures contract usually occurs when the contract has not been successful, where successful contracts are defined as contracts which have high volumes of trading. The changes to the SPI futures contract provide a unique opportunity to examine patterns of trading in a liquid futures contract before and after the date of the market intervention. The success or otherwise of market intervention can be viewed from the perspective of the exchange, or of its customers. This paper uses regression analysis to examine the volume of trading in the SPI futures contract before and after 11 October 1993, and concludes that the changes to the specification of the contract can be viewed as successful, for both the exchange members and investors.

Original languageEnglish
Pages (from-to)47-64
Number of pages18
JournalPacific Basin Finance Journal
Volume9
Issue number1
DOIs
Publication statusPublished - 1 Jan 2001

Keywords

  • Futures exchange
  • G13
  • Index futures
  • Redenomination
  • Tick size

Cite this

@article{b6b39bbe10954c87a676d74cc0561954,
title = "The successful redenomination of a futures contract: The case of the Australian all ordinaries share price index futures contract",
abstract = "This paper examines the economic consequences of the change in the specifications of the Sydney Futures Exchange Share Price Index futures contract that occurred on 11 October 1993. The scale of the contract was changed, while at the same time the minimum tick size was increased. Futures market intervention to change the specifications of a futures contract usually occurs when the contract has not been successful, where successful contracts are defined as contracts which have high volumes of trading. The changes to the SPI futures contract provide a unique opportunity to examine patterns of trading in a liquid futures contract before and after the date of the market intervention. The success or otherwise of market intervention can be viewed from the perspective of the exchange, or of its customers. This paper uses regression analysis to examine the volume of trading in the SPI futures contract before and after 11 October 1993, and concludes that the changes to the specification of the contract can be viewed as successful, for both the exchange members and investors.",
keywords = "Futures exchange, G13, Index futures, Redenomination, Tick size",
author = "Brown, {Christine A.}",
year = "2001",
month = "1",
day = "1",
doi = "10.1016/S0927-538X(00)00037-8",
language = "English",
volume = "9",
pages = "47--64",
journal = "Pacific Basin Finance Journal",
issn = "0927-538X",
publisher = "Elsevier",
number = "1",

}

The successful redenomination of a futures contract : The case of the Australian all ordinaries share price index futures contract. / Brown, Christine A.

In: Pacific Basin Finance Journal, Vol. 9, No. 1, 01.01.2001, p. 47-64.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - The successful redenomination of a futures contract

T2 - The case of the Australian all ordinaries share price index futures contract

AU - Brown, Christine A.

PY - 2001/1/1

Y1 - 2001/1/1

N2 - This paper examines the economic consequences of the change in the specifications of the Sydney Futures Exchange Share Price Index futures contract that occurred on 11 October 1993. The scale of the contract was changed, while at the same time the minimum tick size was increased. Futures market intervention to change the specifications of a futures contract usually occurs when the contract has not been successful, where successful contracts are defined as contracts which have high volumes of trading. The changes to the SPI futures contract provide a unique opportunity to examine patterns of trading in a liquid futures contract before and after the date of the market intervention. The success or otherwise of market intervention can be viewed from the perspective of the exchange, or of its customers. This paper uses regression analysis to examine the volume of trading in the SPI futures contract before and after 11 October 1993, and concludes that the changes to the specification of the contract can be viewed as successful, for both the exchange members and investors.

AB - This paper examines the economic consequences of the change in the specifications of the Sydney Futures Exchange Share Price Index futures contract that occurred on 11 October 1993. The scale of the contract was changed, while at the same time the minimum tick size was increased. Futures market intervention to change the specifications of a futures contract usually occurs when the contract has not been successful, where successful contracts are defined as contracts which have high volumes of trading. The changes to the SPI futures contract provide a unique opportunity to examine patterns of trading in a liquid futures contract before and after the date of the market intervention. The success or otherwise of market intervention can be viewed from the perspective of the exchange, or of its customers. This paper uses regression analysis to examine the volume of trading in the SPI futures contract before and after 11 October 1993, and concludes that the changes to the specification of the contract can be viewed as successful, for both the exchange members and investors.

KW - Futures exchange

KW - G13

KW - Index futures

KW - Redenomination

KW - Tick size

UR - http://www.scopus.com/inward/record.url?scp=0042407808&partnerID=8YFLogxK

U2 - 10.1016/S0927-538X(00)00037-8

DO - 10.1016/S0927-538X(00)00037-8

M3 - Article

VL - 9

SP - 47

EP - 64

JO - Pacific Basin Finance Journal

JF - Pacific Basin Finance Journal

SN - 0927-538X

IS - 1

ER -