The successful redenomination of a futures contract: The case of the Australian all ordinaries share price index futures contract

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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
Issue number1
Publication statusPublished - 1 Jan 2001


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

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