The Behavior of Bid-Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999
AbstractIn August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs. Copyright 2003 by the American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal The Journal of Finance.
Volume (Year): 58 (2003)
Issue (Month): 6 (December)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004.
"Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications,"
IDEI Working Papers
253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- Gresse, Carole, 2011. "Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience," Economics Papers from University Paris Dauphine 123456789/7685, Paris Dauphine University.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics,
Elsevier, vol. 100(3), pages 496-513, June.
- Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer, vol. 25(2), pages 149-172, June.
- Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
- Anand, Amber, 2005. "Specialist: The firm or the individual?: Empirical evidence from the options markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 555-575.
- Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
- Bartram, Sohnke M. & Fehle, Frank, 2007. "Competition without fungibility: Evidence from alternative market structures for derivatives," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 659-677, March.
- Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
- Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.