It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity options quotes is studied to see whether delayed publication widens the bid-ask spread. Second, regression analysis using daily and 30-minute data is applied to quantify the effects of non-transparent equity trades on the options market.
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Paper provided by University of Southampton - Department of Accounting and Management Science in its series Papers with number
96-126.
Length: 21 pages Date of creation: 1996 Date of revision: Handle: RePEc:fth:sotoam:96-126
Contact details of provider: Postal: University of Southampton, Department of Accounting & Mangement Science, Southampton S09 5NH UK. Phone: 44 0173 592537/592555 Fax: 44 0173 593858 Email: Web page: http://www.soton.ac.uk/~econweb/ More information through EDIRC