✦ LIBER ✦

Bid-ask spreads in financial futures

✍ Scribed by Paul A. Laux; A. J. Senchack Jr.

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 899 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120603

No coin nor oath required. For personal study only.

✦ Synopsis

2See Kamara (1988) for a discussion why price disparities between substitute goods traded in different 'For example, see Amihud and Mendelson (1987), Haller andStoll (1989), and Hasbrouck and Ho (1987). markets are due to market microstructure differences.

'Regarding the second source of bias, Roll recognizes the Jensen inequality problem but dismisses it as being empirically unimportant. Harris, on the other hand, finds it to be of significance.

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