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A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

โœ Scribed by Roll, Richard

Book ID
125544398
Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
327 KB
Volume
39
Category
Article
ISSN
0022-1082

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๐Ÿ“œ SIMILAR VOLUMES

The determinants of bid-ask spreads in t
The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis
โœ Ding, David K. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 232 KB ๐Ÿ‘ 2 views

This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related t

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The effect of multiple listings on the bidโ€“ask spread in option markets: The case of Montreal Exchange
โœ Nabil Khoury; Klaus P. Fischer ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 122 KB

## Abstract In this article, we examine the effect of multiple listings of options on their bidโ€“ask spread, by comparing options contracts listed only on the Montreal Exchange with those interlisted on that exchange and on a U.S. exchange as well. Using a statistical procedure adapted to panel data