The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options
Author | : Kalok Chan |
Publisher | : |
Total Pages | : |
Release | : 1998 |
ISBN-10 | : OCLC:1291273848 |
ISBN-13 | : |
Rating | : 4/5 (48 Downloads) |
Download or read book The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and Cboe Options written by Kalok Chan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern--one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.