Various bid-ask spread estimators are applied to transaction data from LIFFE commodity futures markets, and the resulting estimates are compared to observed actual bid-ask spreads. Results suggest that actual bid-ask spreads, unlike effective spreads, can be reasonably estimated using transaction data. Estimates of actual spreads gives market participants and researchers some idea of potential transaction costs, and will be useful for assessing the efficiency of electronic trading relative to open-outcry trading. Results indicate that estimators using averages of absolute price changes perform better at estimating actual bid-ask spreads in futures markets than estimators using the covariance of successive price changes
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2001 Annual meeting, August 5-8, Chicago, IL with number
20707.
Length: Date of creation: 2001 Date of revision: Handle: RePEc:ags:aaea01:20707
Contact details of provider: Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202 Phone: (414) 918-3190 Fax: (414) 276-3349 Email: Web page: http://www.aaea.org More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (AgEcon Search).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: