Bid–ask spread and liquidity searching behaviour of informed investors in option markets
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.025
Abstract: Abstract We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015),… read more here.
Keywords: liquidity; option; behaviour informed; liquidity searching ... See more keywords
The impact of the Bitcoin bubble of 2017 on Bitcoin's P2P market
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.09.001
Abstract: Abstract Peer-to-peer (P2P) exchange has an important role to play in global Bitcoin trading, yet most research into Bitcoin price behaviour focuses on exchange trading. An analysis of Bitcoin's P2P market indicates that when prices… read more here.
Keywords: bitcoin p2p; bitcoin; bid ask; p2p market ... See more keywords
Bid-ask spread determination in the FX swap market: Competition, collusion or a convention?
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.08.001
Abstract: Following a series of manipulation scandals in the global foreign exchange and money markets, recent lawsuits, regulatory reform proposals and bank compliance changes have explicitly targeted anti-competitive behaviour. By empirically investigating the determination of bid-ask… read more here.
Keywords: swap; ask spread; determination; market ... See more keywords
Liquidity skewness in the London Stock Exchange
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.12.006
Abstract: Abstract We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and… read more here.
Keywords: london stock; liquidity; liquidity skewness; stock exchange ... See more keywords
Semiparametric identification of the bid–ask spread in extended Roll models
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.06.013
Abstract: This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (et) from the observed transaction prices alone. The results are established via the characteristic function… read more here.
Keywords: roll; ask spread; bid ask; extended roll ... See more keywords
Bias in the effective bid-ask spread
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.04.018
Abstract: Abstract The effective bid-ask spread measured relative to the spread midpoint overstates the true effective bid-ask spread in markets with discrete prices and elastic liquidity demand. The average bias is 13%–18% for S&P 500 stocks in… read more here.
Keywords: bid ask; effective bid; bias effective; ask spread ... See more keywords
When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2019.101066
Abstract: Abstract This research focuses on the impact High-Frequency Trading has on price volatility when bid-ask spread is wide. The theoretical part introduces a set of equations and presents an Agent Based Model implemented via a… read more here.
Keywords: high frequency; bid ask; frequency; volatility ... See more keywords