The components of the bid‐ask spread: Evidence from the corn futures market
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DOI: 10.1111/agec.12423
Abstract: This article examines whether USDA announcements and commodity index fund rolling activity have an impact on liquidity costs, measured by the bid†ask spread. Using Huang and Stoll's (1997) model of liquidity costs, we estimate… read more here.
Keywords: liquidity; index fund; commodity index; liquidity costs ... See more keywords