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

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options
Author: Kalok Chan
Publisher:
Total Pages:
Release: 1998
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ISBN:
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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 that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.


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
The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options
Language: en
Pages:

The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options

Authors: Owain Ap Gwilym
Categories:
Type: BOOK - Published: 1997 - Publisher:

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The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, esp
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
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
Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities
Language: en
Pages:

Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities

Authors: K.C. Chan
Categories:
Type: BOOK - Published: 2012 - Publisher:

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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 signi