McGroarty, Frank; ap Gwilym, Owain; Thomas, Steve - In: Research in International Business and Finance 24 (2010) 3, pp. 253-266
We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market...
