𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Intraday Variation in the Bid-Ask Spread: Evidence after the Market Reform

✍ Scribed by Kee H. Chung; Xin Zhao

Book ID
110681137
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
145 KB
Volume
26
Category
Article
ISSN
0270-2592

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Bid–ask spread and order size in the for
Bid–ask spread and order size in the foreign exchange market: an empirical investigation
✍ Liang Ding πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 108 KB

## Abstract This article empirically examines the relationship between order sizes and spreads in the foreign exchange (FX) market based on a FX dealer's quotes. It is found that spreads are independent of order sizes in the inter‐dealer market, but they are negatively correlated in the customer ma

The determinants of bid-ask spreads in t
The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis
✍ Ding, David K. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 232 KB πŸ‘ 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

The impact of electronic trading on bid-
The impact of electronic trading on bid-ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney
✍ Michael J. Aitken; Alex Frino; Amelia M. Hill; Elvis Jarnecic πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 135 KB πŸ‘ 1 views

## Abstract During 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). T