Results 261 to 270 of about 204,957 (304)

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
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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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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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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
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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
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Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First? [PDF]

, 2002
This paper investigates the order in which new information is first reflected in the market – through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick quote data on all stocks in the Dow Jones Industrial Average.
Sugato Chakravarty, Frederick H. deB. Harris, Robert A. Wood   +2 more
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Analysis of ETF bid-ask spread components

The Quarterly Review of Economics and Finance, 2016
Abstract In this study we examine on intradaily basis (milliseconds) the largest 100 ETFs’ bid-ask spread components in the period March 21, 2014 to April 17, 2014. We document that ETFs have lower proportion of adverse selection in the bid-ask spread relative to stocks, which also means that the order processing cost component is higher in ETFs ...
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