Competition, Market Structure and Bid-Ask Spreads in Stock Option Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Competition, Market Structure and Bid-Ask Spreads in Stock Option Markets PDF full book. Access full book title Competition, Market Structure and Bid-Ask Spreads in Stock Option Markets by Stewart Mayhew. Download full books in PDF and EPUB format.
Author: Stewart Mayhew
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper examines the effects of competition and market structure on the bid-ask spreads for stock options traded on the Chicago Board Options Exchange (CBOE) between 1986 and 1997. Options listed on multiple exchanges are found to have narrower spreads than those listed on a single exchange, but the difference is smaller for effective spreads than quoted spreads, and the effect diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a quot;Designated Primary MarketMakerquot; (DPM) are found to have narrower quoted spreads than those traded in a traditional open outcry crowd. Effective spreads are found to be slightly narrower under the DPM than in the crowd, but only since 1992, and only on low-volume options.
Author: Stewart Mayhew
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper examines the effects of competition and market structure on the bid-ask spreads for stock options traded on the Chicago Board Options Exchange (CBOE) between 1986 and 1997. Options listed on multiple exchanges are found to have narrower spreads than those listed on a single exchange, but the difference is smaller for effective spreads than quoted spreads, and the effect diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a quot;Designated Primary MarketMakerquot; (DPM) are found to have narrower quoted spreads than those traded in a traditional open outcry crowd. Effective spreads are found to be slightly narrower under the DPM than in the crowd, but only since 1992, and only on low-volume options.
Author: Yuk-Shee Chan
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
Get Book Here
Book Description
Author: G. Geoffrey Booth
Publisher:
ISBN:
Category :
Languages : de
Pages : 38
Get Book Here
Book Description
Author: Eugene Kandel
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Jean-Philippe Bouchaud
Publisher: Cambridge University Press
ISBN: 1108639062
Category : Science
Languages : en
Pages : 464
Get Book Here
Book Description
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.
Author: K.C. Chan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper examines the intraday pattern of bid-ask spreads among NASDAQ stocks. We find that spreads are relatively stable throughout the day, but narrow significantly near the close. This contrasts with the U-shaped pattern for NYSE stocks reported by Brock and Kleidon (1992) and McInish and Wood (1992). We attribute these divergent patterns to structural differences between specialist and dealer markets. The wider spreads for NYSE stocks near periods of market closure may reflect the market power of specialists. The decline in spreads near the close for NASDAQ stocks is consistent with inventory control by individual dealers.
Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
Get Book Here
Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Thomas Gehrig
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 34
Get Book Here
Book Description
Author: Kee H. Chung
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Get Book Here
Book Description
We test the conjecture that the specialist system on the New York Stock Exchange (NYSE) provides better liquidity services than the NASDAQ dealer market in times of high return volatility when adverse selection and inventory risks are high. We motivate our conjecture from the observation that there is a designated specialist for each stock on the NYSE who is directly responsible for maintaining a reasonable level of liquidity (i.e., the bid-ask spread) as the liquidity provider of last resort, whereas there is no such designated dealer on NASDAQ. Empirical evidence is consistent with our conjecture. In a similar vein, we show that the specialist system provides better liquidity than the dealer market in thin markets.
Author: Hans R. Stoll
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 88
Get Book Here
Book Description
