## Abstract This study investigates the impact of reducing the contract size threshold for offโmarket trading on transaction costs in an options market. This study provides evidence that market makers compete more aggressively for smallโtoโmedium trades and quote midโsize depths more often after th
Order Imbalance, Liquidity, and Market Efficiency: Evidence from the Chinese Stock Market
โ Scribed by Lei Jiang
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 128 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0143-6570
- DOI
- 10.1002/mde.1547
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at t
The informational efficiency of the market for options on the German stock index DAX is examined using intraday transactions data. Problems of previous studies on options-market efficiency, arising from dividend estimation and the early-exercise effect, are avoided, because the DAX is a performance
Arbitragersโ activities are constrained by market liquidity. In turn, arbitrage activity may trigger order imbalances adversely affecting liquidity. We examine this issue by analyzing the link between the futuresโcash basis and bidโask spreads using intraday data on single stock futures (SSFs) contr
We would like to thank an anonymous referee and Robert Webb (the Editor) for their helpful comments and suggestions that significantly improved the quality of the study. The ideas expressed in this study are those of the authors and do not necessarily reflect the views of Osaka Gas.
## Abstract This paper analyzes 31 months of data on 137 singleโstock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the r