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The value of liquidity: Evidence from the derivatives market

✍ Scribed by Howard Wei-Hong Chan; Sean M Pinder

Book ID
117627800
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
115 KB
Volume
8
Category
Article
ISSN
0927-538X

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## Abstract This study investigates the impact of reducing the contract size threshold for off‐market trading on transaction costs in an options market. This study provides evidence that market makers compete more aggressively for small‐to‐medium trades and quote mid‐size depths more often after th