Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets
AbstractUsing literature-based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog futures markets. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and average volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle market. Results are sensitive to the bid-ask spread measure, with our modified Bayesian method providing estimates most consistent with expectations and the competitive structure in these markets. Copyright 2010, Oxford University Press.
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Bibliographic InfoArticle provided by Agricultural and Applied Economics Association in its journal American Journal of Agricultural Economics.
Volume (Year): 93 (2010)
Issue (Month): 1 ()
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- Frank, Julieta & Garcia, Philip, 2009. "Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49575, Agricultural and Applied Economics Association.
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