Similar Search Results

Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market

Hsieh, PeiLin Billy - 2017

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …

Persistent link: https://www.econbiz.de/10012974407

Rethinking Decimalization The Impact of Increased Tick Sizes on Trading Activity and Volatility

Whitby, Ryan J. - 2019

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange … stocks does not appear to be meaningfully affected by the increase in tick sizes. Volatility, however, increases markedly for …

Persistent link: https://www.econbiz.de/10012899258

Markets, Profits, Capital, Leverage and Return

Carr, Peter - 2010

The theory of two price markets of Cherny and Madan (2010) yields closed forms for bid and ask prices. Defining profits as the difference between the mid quote and the risk neutral expectation and capital as difference between the ask and the bid price one obtains precise expressions for these...

Persistent link: https://www.econbiz.de/10013138040

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Lesmond, David A. - 2018

We theoretically establish a market microstructure bias embedded in the estimate of industry-adjusted idiosyncratic variance and empirically show that the bid-ask spread eliminates the observed time trend in aggregate idiosyncratic variance (Campbell, Lettau, Malkiel, and Xu, 2001). These...

Persistent link: https://www.econbiz.de/10012935948

High Frequency Quoting : Short-Term Volatility in Bids and Offers

Hasbrouck, Joel - 2017

volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that … this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in …

Persistent link: https://www.econbiz.de/10012974532

Internet Appendix to 'A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices'

Abdi, Farshid - 2017

This supplemental appendix extends the main paper by presenting additional analyses and robustness checks. It also describes the procedure to construct the Monthly TAQ effective spread benchmark.The paper "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices" to which...

Persistent link: https://www.econbiz.de/10012968801

The Information Content of Quotes in High Frequency Order Driven Markets

Pani, Sudhanshu Sekhar - 2019

This paper investigates the information content present in the quotes in an order driven market without the presence of designated market makers. A representation is proposed that recognises the ability of participants in such markets to observe market events and calibrate their quoting...

Persistent link: https://www.econbiz.de/10012890991

Stock Market Liquidity and Trading Activity : Is China Different?

Ma, Rui - 2017

We study marketwide liquidity and trading activity in China. Trading activity increases in up markets more than in down markets, which is consistent with the disposition effect and the large number of unsophisticated retail investors in China. Whereas, on average, liquidity and trading activity...

Persistent link: https://www.econbiz.de/10012959574

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Abdi, Farshid - 2017

We propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, this method utilizes a wider information set, namely, readily available close, high, and low prices. In the absence of end-of-day quote data, this method generally...

Persistent link: https://www.econbiz.de/10012970138

Herding and Equity Market Liquidity : Evidence from Vietnam

Vo, Xuan Vinh - 2017

This paper focuses on investigating the relation between herding and liquidity in Vietnam stock market, an issue which is paid less intention in previous studies. We use stock prices and trading volume over the period from 2005 to 2017 as the data set to measure herding and liquidity,...

Persistent link: https://www.econbiz.de/10012947419