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The Dynamics of Discrete Bid and Ask Quotes

✍ Scribed by Joel Hasbrouck

Book ID
108502901
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
458 KB
Volume
54
Category
Article
ISSN
0022-1082

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πŸ“œ SIMILAR VOLUMES

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## Abstract We investigate intraday bid‐ask spreads (BAS), volatility, and trading activity of thinly traded equity index futures contracts on the Singapore Exchange. Contrary to previous findings, we find a rather flat BAS pattern during the trading day. However, consistent with past findings, an