Built on tight SPY option bid-ask spreads
, SPIKES Index offers radically faster dissemination, publishing every 100 milliseconds as opposed to every 15 seconds.
: Measuring trade execution costs in financial markets." In: Encyclopedia of Quantitative Finance, Rama Cont (Eds.), John Wiley & Sons Ldt, p.
We use the average daily bid-ask spread
of a firm's stock price (calculated from the Center for Research in Security Prices [CRSP]) as a measure of information asymmetry assuming that firms with greater information asymmetry will also have greater bid-ask spreads
"In addition, with the greater liquidity in the Treasury market, we expect that the bid-ask spreads
on the funds' ETF shares will be considerably lower," said Davis.
After Reg FD was implemented, several empirical studies showed a reduction in bid-ask spreads
Over time, this is expected to result in increased investor confidence in listed securities, narrower valuation gap between Bahrain Bourse and regional peers, reduced bid-ask spreads
, enhanced market depth, and increased free float in the market.
Further compounding the problem is the inherently low profitability of the market-making business, given the tight bid-ask spreads
. Pre-crisis, dealers were able to amplify profitability through leverage, which has also come under increased regulatory scrutiny.
Internet appendix for "A simple way to estimate bid-ask spreads
from daily high and low prices".
have decreased over time and revenues to market-makers have decreased from 1.46 percent of traded face value in 1980 to just 0.11 percent in 2006.
The strong relationship between bid-ask spreads
in two consecutive months can be also seen in Chart 2.