Trading activity and bid–ask spreads of individual equity options
✍ Scribed by Jason Wei; Jinguo Zheng
- Book ID
- 116615587
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 457 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This paper examines the impact of switching to electronic trading on the relative pricing efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong exchange. The study is motivated by the recent shift in 2000 from the pit to an electronic trading platform. Electronic tradin
## 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