Results 161 to 170 of about 204,856 (205)

Limit orders and the bid-ask spread

SSRN Electronic Journal, 2003
We examine the role of limit-order traders and specialists in the market-making process. We find that a large portion of posted bid-ask quotes originates from the limit-order book without direct participation by specialists, and that competition between traders and specialists has a significant impact on the bid-ask spread.
Kee H. Chung, Bonnie F. Van Ness, Robert A. Van Ness   +2 more
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Reputation, Bid–Ask Spread and Market Structure

Financial Analysts Journal, 1993
(1993). Reputation, Bid–Ask Spread and Market Structure. Financial Analysts Journal: Vol. 49, No. 4, pp. 57-62.
Yuk-Shee Chan, Mark Weinstein
openaire   +1 more source

The Determinants of CDS Bid-Ask Spreads

The Journal of Derivatives, 2008
Recently, the issue of liquidity has generated considerable attention in financial research. In this article, Meng and ap Gwilym analyze the determinants of liquidity in the market for credit default swaps, as measured by the width of their bid-ask spreads.
Lei Meng, Owain ap Gwilym
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BID-ASK SPREADS IN COMMODITY FUTURES MARKETS

2002
Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to
Bryant, Henry L., Haigh, Michael S., Bryant, Henry L., Haigh, Michael S.   +3 more
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Insider Trading and the Bid‐Ask Spread

Financial Review, 1998
AbstractThis study examines the intertemporal and cross‐sectional association between the bid‐ask spread and insider trading. Empirical results from the cross‐sectional regression analysis reveal that market makers establish larger spreads for stocks with a greater extent of insider trading.
Kee H. Chung, Charlie Charoenwong
openaire   +1 more source

Option Bid–Ask Spread and Liquidity

The Journal of Trading, 2015
This article focuses on the search for a economically meaningful and easy to implement summary quantitative measure for option liquidity. The author shows that the relative spread measure (quoted dollar bid–ask spread relative to the midquote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also ...
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Market Structure and Bid-Ask Spread

1999
From a national perspective, the global competition in financial services requires operationally efficient securities markets. Improvements in operational efficiency allow for lower transaction costs to investors and add to the competitiveness of national securities markets.
Hartmut Schmidt, Peter Iversen, Kai Treske   +2 more
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Bid-Ask Spreads with Indirect Competition Among Specialists [PDF]

Journal of Financial Markets, 1994
Research Joint Ventures and subsidies are important R&D policy instruments. The regulator, however, is unlikely to know all the relevant information to regulate R&D optimally. The extent to which there are appropriability problems is one such variable that is private information to the firms within the industry.
Thomas Gehrig, Matthew Jackson
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Option Bid-Ask Spread and Liquidity

SSRN Electronic Journal, 2011
This paper focuses on the search for a summary quantitative measure for option liquidity that is economically meaningful and easy to implement. We show that the relative spread measure (quoted dollar bid-ask spread relative to the mid-quote price) not only leads to liquidity ranking of options that is contrary to the popular view, but it is also biased
openaire   +1 more source

STOCK DISTRIBUTION ANNOUNCEMENTS AND BID‐ASK SPREADS

Studies in Economics and Finance, 1997
In this paper, the link between stock distribution announcements and capital markets is examined. The results show that stock split announcements result in higher share prices and narrower percentage bid‐ask spreads, while stock dividend announcements have little effect on either prices or percentage spreads.
James M. Forjan, Michael S. McCorry
openaire   +1 more source