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Article: An Analysis of Intraday Quoted Bid-Ask Spreads in Futures Markets: Evidence from the Sydney Futures Exchange.
- Article from:
- Australian Journal of Management
- Article date:
- December 1, 1998
- Author:
CopyrightCOPYRIGHT 1998 Australian Graduate School Of Management. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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Abstract:
Prior research documents an elevation in bid-ask spreads at the open and close of trading in futures markets. These findings directly contradict prior literature examining option and equities markets organised as competitive dealer markets, which also document a widening in spreads at the open, but provide evidence of a narrowing at the close. While prior futures market literature has relied on various estimators of bid-ask spreads, this is the first study to provide evidence on intraday quoted bid-ask spreads in futures markets. The evidence reported in this paper is consistent with prior equities and options market literature, and suggests that the ...