IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v3y1996i7p445-449.html
   My bibliography  Save this article

An analysis of bid-ask spreads on American-and European-style index options

Author

Listed:
  • Owain Ap Gwilym
  • Mike Buckle

Abstract

The UK option market is unique in trading both American-style and European-style contracts on the same underlying stock index. We use high-frequency quote data to examine the magnitude and distribution of the bid-ask spreads on these contracts, which are found to be at least partly determined by relative trading volume. We also present comparisons with the limited previous evidence on the level of option bid-ask spreads in the UK and USA. We find that increased trading volumes in the UK index options in recent years have not clearly reduced spreads.

Suggested Citation

  • Owain Ap Gwilym & Mike Buckle, 1996. "An analysis of bid-ask spreads on American-and European-style index options," Applied Economics Letters, Taylor & Francis Journals, vol. 3(7), pages 445-449.
  • Handle: RePEc:taf:apeclt:v:3:y:1996:i:7:p:445-449
    DOI: 10.1080/758540803
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/758540803&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/758540803?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:3:y:1996:i:7:p:445-449. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.