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An empirical comparison of quoted and implied bid-ask spreads on futures contracts

Ap Gwilym, Owain; Thomas, Stephen - In: Journal of international financial markets, … 12 (2002) 1, pp. 81-99

Persistent link: https://www.econbiz.de/10001646048

Mircostructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2004

Persistent link: https://www.econbiz.de/10002447981

Market structure and microstructure, in international interest rate futures markets

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Steve - In: Research in international business and finance 24 (2010) 3, pp. 253-266

Persistent link: https://www.econbiz.de/10003986226

Structural changes, bid-ask spread composition and tick size in inter-bank futures trading

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: The European journal of finance 17 (2011) 3/4, pp. 285-306

Persistent link: https://www.econbiz.de/10009155402

The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

Verousis, Thanos; Ap Gwilym, Owain - In: International review of financial analysis 32 (2014), pp. 37-46

Persistent link: https://www.econbiz.de/10010461347

Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Global finance journal 17 (2006) 1, pp. 23-49

Persistent link: https://www.econbiz.de/10003381769

The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of international financial markets, … 19 (2009) 2, pp. 387-401

Persistent link: https://www.econbiz.de/10003800028

The components of electronic inter-dealer spot FX bid-ask spreads

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of business finance & accounting : JBFA 34 (2007) 9/10, pp. 1635-1650

Persistent link: https://www.econbiz.de/10003627073

Commonality in equity options liquidity : evidence from European markets

Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos - In: The European journal of finance 22 (2016) 10/12, pp. 1204-1223

Persistent link: https://www.econbiz.de/10011715347

The Microstructure of Individual Equity Options : Firm-Level and Common Effects on Liquidity

Verousis, Thanos - 2013

This study utilises an extensive dataset from three European exchanges, namely NYSE LIFFE Amsterdam, London and Paris, to study cross-sectional commonality in liquidity for individual equity options. We document that individual option liquidity is strongly associated with the underlying market...

Persistent link: https://www.econbiz.de/10013081370