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Author :
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (352 download)
Download or read book Bid-ask Spreads, Trading Volume and Volatility written by and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Jens Smith
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book Intra-day Bid-ask Spreads, Trading Volume and Return Volatility written by Michael Jens Smith and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Author : Abhay Abhyankar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Bid-Ask Spreads, Trading Activity, and Trading Hours written by Abhay Abhyankar and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the intra-day pattern of bid-ask spreads, volatility, and volume on the London Stock Exchange. The primary focus of the study is to relate the empirically observed regularities to specific institutional features of the trading system on the Exchange. We also examine the robustness of the results with reference to changes in the trading hours. The data set used consists of quote and transactions data for about 147 stocks and 835 stocks during two quarters of 1990 and 1991. We test for statistical significance of the average inside spread, the volume, and the return volatility during 15-minute intervals using a GMM ( Generalized Method of Moments ) procedure which is robust to both serial correlation and heteroscedasticity. We also indicate graphically the intra-daily patterns in the inside spread, the trading volume, the number of transactions, and the return volatility. Our results suggest that the bid-ask spread is widest outside the Mandatory Quote Period (MQP), i.e. the period during which market-makers are obliged to post firm quotes. The spread narrows slightly over the trading day for highly traded stocks but is almost constant for less liquid stocks. The spread again widens from the end of the MQP till the close of the SEAQ system. We conjecture that the periods prior to and after the MQP provide quot;windowsquot; for price discovery prior to the MQP and for quot;cooling offquot; after the MQP. Trading volume for the entire sample shows a two-humped shape. However, a crude U-shaped pattern is seen for stocks in the highest trading decile based on volume and number of transactions. Volatility, based on the mid-point of the inside spread, also shows a U-shaped pattern. The higher volatility outside the MQP coincides with the greater price uncertainty prevailing during these time periods.
Author : Syed Mujahid Hussain
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility written by Syed Mujahid Hussain and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.
Author : Hans R. Stoll
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.3/5 (512 download)
Download or read book Stock Market Structure, Volatility, and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shang-Jin Wei
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.X/5 (2 download)
Download or read book Anticipations of Foreign Exchange Volatility and Bid-ask Spreads written by Shang-Jin Wei and published by . This book was released on 1994 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an option model of the spread, but the magnitude is smaller. An increase in trading volume of spot exchange rates also widens the spread. The omission of the trading volume, however, does not bias the estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of the spread is close to linear, some form of nonlinearity can still be detected from the data.
Author : Jinliang Li
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Daily Return Volatility, Bid-Ask Spreads, and Information Flow written by Jinliang Li and published by . This book was released on 2013 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The results show that the positive relationship between volatility and volume is primarily driven by the informed component of trading. When we control for the information flow, volatility is negatively related to trading volume. Furthermore, bid-ask spreads are positively related to the intensity of information flow.
Author : Madhu Kalimipalli
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Bid/Ask Spread, Volatility and Volume in the Corporate Bond Market written by Madhu Kalimipalli and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the time-series relationship among volatility, volume and bid-ask spreads for the ten most actively traded bonds on the NYSE's Automated Bond System (ABS). The bonds examined here have a significant percentage of all their trades carried out on the ABS, but retail-sized transactions and time-clustering mandate a data analytic approach that accommodates irregularly spaced quotes. Latent volatility for each bond is extracted using an Autoregressive Conditional Duration (ACD) model that provides input into an ordered probit model for observed spreads. For the most part we find a significant positive (negative) relationship between latent volatility (trading volume proxy) and observed spread and this finding is robust to alternative specifications.
Author : Sunil Wahal
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Entry, Exit, Market Makers and the Bid-Ask Spread written by Sunil Wahal and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants and effects of entry and exit of market makers on the National Market System. Entry is associated with an increase in trading volume, a temporary increase in volatility and a permanent decline in the bid-ask spread. Exit, on the other hand, is accompanied by a small decline in volume but a permanent increase in both volatility and the spread. The spread changes are related to entry/exit, even after controlling for changes in volume and volatility. These results suggest that inter- dealer competition is successful in driving down the spread.
Author : Avinash Persaud
Publisher :
ISBN 13 : 9781904339137
Total Pages : 272 pages
Book Rating : 4.3/5 (391 download)
Download or read book Liquidity Black Holes written by Avinash Persaud and published by . This book was released on 2003 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This cutting-edge volume brings together a range of leading academics and market practitioners to help you define, understand and measure liquidity risk and 'liquidity black holes'.
Author : Jack Sarkissian
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization written by Jack Sarkissian and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve price accuracy and reduce spread, but after some point additional liquidity begins to deteriorate price. The model allows to connect the bid-ask spread and high-low bars to measurable microstructural parameters and express their dependence on trading volume, volatility and time horizon. Using the established relations, we address the operating spread optimization problem to maximize the market-maker's profit.
Author : Erik Remzi Sirri
Publisher :
ISBN 13 :
Total Pages : 374 pages
Book Rating : 4.:/5 ( download)
Download or read book Bid-ask Spread, Price, and Trade Size in a Specialist Market written by Erik Remzi Sirri and published by . This book was released on 1990 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Spiridon Spirakos-Papastavridis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (921 download)
Download or read book On the Trading Volume and Time Effects on the Bid-ask Spread Components of NYSE and NASDAQ Common Stocks written by Spiridon Spirakos-Papastavridis and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260232
Total Pages : 358 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author : Michael J. Fleming
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (129 download)
Download or read book Price Formation and Liquidity in the U.S. Treasury Market written by Michael J. Fleming and published by . This book was released on 2006 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.
Author : Fun Sang Daniel Choi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (598 download)
Download or read book The Efficiency of the London Trading Options Market written by Fun Sang Daniel Choi and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
