Relative performance of bid–ask spread estimators: Futures market evidence
✍ Scribed by Amber Anand; Ahmet K. Karagozoglu
- Book ID
- 116575203
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 157 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1042-4431
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## 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
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