Competition, Market Structure, And Bid - Ask Spreads in Stock Option Markets  

Oleh:

Mayhew, Stewart

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 931-958.
Topik: competition; studies; spread; competition; options; markets; stock exchanges; statistical analysis
Fulltext: p 931.pdf (319.93KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the effects of competition and market structure on equity option bid - ask spreads from 1986 to 1997. Options listed on multiple exchanges have narrower spreads than those listed on a single exhange, but the difference diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a "designated primary market maker (DPM) have narrower quoted spreads than those traded in a traditional open out cry crowd. Effective spreads are foud to be slightly narrower under the DPM than in the crowd, but only since 1992 and only on low - volume options.

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