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
โฆ LIBER โฆ
Price clustering and bid-ask spreads in international bond futures
โ Scribed by Owain ap Gwilym; Andrew Clare; Stephen Thomas
- Book ID
- 117699616
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 92 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1042-4431
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Bid-ask spreads in financial futures
โ
Paul A. Laux; A. J. Senchack Jr.
๐
Article
๐
1992
๐
John Wiley and Sons
๐
English
โ 899 KB
Bidโask spreads in commodity futures mar
โ
Bryant, Henry L.; Haigh *, Michael S.
๐
Article
๐
2004
๐
Taylor and Francis Group
๐
English
โ 181 KB
Price elasticity and bid-ask price sprea
โ
John S. Bildersee
๐
Article
๐
1980
๐
Elsevier Science
๐
English
โ 405 KB
Trading volume, bidโask spread, and pric
โ
George H. K. Wang; Jot Yau
๐
Article
๐
2000
๐
John Wiley and Sons
๐
English
โ 149 KB
๐ 2 views
The determinants of bid-ask spreads in t
โ
Ding, David K.
๐
Article
๐
1999
๐
John Wiley and Sons
๐
English
โ 232 KB
๐ 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
Volatility clustering and the bidโask sp
Volatility clustering and the bidโask spread: Exchange rate behavior in early Renaissance Florence
โ
G. Geoffrey Booth; Umit G. Gurun
๐
Article
๐
2008
๐
Elsevier Science
๐
English
โ 325 KB