Intraday Variation in the Bid-Ask Spread
Language: en
Pages: 25

Intraday Variation in the Bid-Ask Spread

Authors: Kee H. Chung
Categories:
Type: BOOK - Published: 2002 - Publisher:

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In this article we show that intraday variation in spreads for Nasdaq-listed stocks has converged to intraday variation in spreads for NYSE-listed stocks after
Limit Orders and the Bid-Ask Spread
Language: en
Pages: 38

Limit Orders and the Bid-Ask Spread

Authors: Kee H. Chung
Categories:
Type: BOOK - Published: 2003 - Publisher:

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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 t
The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of Ft-Se 100 Index Options
Language: en
Pages:

The Intraday Behaviour of Quoted and Effective Bid-Ask Spreads of Ft-Se 100 Index Options

Authors: Paul Dawson
Categories:
Type: BOOK - Published: 1998 - Publisher:

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This study compares the intraday patterns observed in the quoted and effective bid-ask spreads on the FT-SE 100 index options traded on LIFFE with a broad range
Stock Market Structure, Volatility, and Volume
Language: en
Pages: 88

Stock Market Structure, Volatility, and Volume

Authors: Hans R. Stoll
Categories: Business & Economics
Type: BOOK - Published: 1990 - Publisher:

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The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options
Language: en
Pages:

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options

Authors: Kalok Chan
Categories:
Type: BOOK - Published: 1998 - Publisher:

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We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings tha