The Behaviour of Bid - Ask Spreads And Volume in Options Markets During The Competition for Listings in 1999  

Oleh:

Fontnouvelle, Patrick de ; Fishe, Raymond P.H. ; Harris, Jeffrey H.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2437-2464.
Topik: MARKETS; studies; asked price; spread; options markets; stock exchanges; regression analysis
Fulltext: p 2437.pdf (190.51KB)

Ketersediaan

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

Lihat Detail Induk

Isi artikel

In August 1999, U. S. exchanges began to compete directly for order flow in many options that had been exclusively listed on antoher exchange, shifting 37% of option volume to multiple - listing status by the end of september. Effective and quoted bid - ask spreads decrease significantly after multiple listings with spreads generally maintaning their initial lower levels 1 year later. These results hold for both time series and ooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and suport the view that inter exchange competition reduces option transaction costs.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali