"Actual experience with a public disclosure requirement suggests that it may have a negative impact on affected markets in terms of liquidity and bid ask spreads
," the association argued.
We examine the average level of the four variables, cost of capital, bid ask spreads, liquidity and volatility, in the pre and post change periods to determine if the law changes have minimised the influence of the negative aspects of insider trading on the market.
Table 4 presents the results for the tests on the bid ask spreads. As can be observed in Panel A there is strong evidence of a significant decrease in the level of the log spreads in the post change periods.
Declerck (2002) listed 5 millions transactions and the same number of bid ask spreads for the period between January and June 1998 for the CAC 40 stocks.
where [RB.sub.t] is the return calculated with the inferior limit of the bid ask spread and [RD.sub.t] is the difference between the stock return and [RB.sub.t].
This time around, I think you will see the reverse; the bid ask spreads
will close to the upside.
1995, `Market structure and the intraday pattern of bid ask spreads
for NASDAQ securities', Journal of Business, vol.
The significance of the dummy variable in this preliminary exercise indicates that the Tiananmen Square conflict is associated with a significant structural break in the relationship between bid ask spreads
and country risk.
7 Several other factors affect specialists' bid ask spreads
. See Stoll |22~ for a review.
This market is deep and liquid, routinely permitting participants to execute trades of huge size with remarkable rapidity at paper-thin bid ask spreads
. Consequently, the market serves as an important source of liquidity for individuals and financial institutions.
If we assume that the increase in demand for the options from A1([lambda]) to A2([lambda]), for a fixed supply B([lambda]), is such that the following three assumptions are satisfied then it is possible to give the necessary and sufficient conditions under which increased transactions demand yield increased volume and narrower bid ask spreads