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
Analyzing the corn futures contracts traded at B3, we observe a large amplitude in the estimated bid-ask spreads
. Our estimates ranged between 6 and 18 cents (in R$/bag), and most models underestimate the quoted bid-ask spread
"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
Currently the vast majority of CDS trading still takes place over the counter, where price formation lacks transparency and transaction costs are high, partly because investors must pay high 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.