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Les déterminants du coût de la liquidité immédiate sur le marché canadien des options

Author

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  • Khoury, Nabil

    (Université Laval)

  • Yourougou, Pierre

    (Université Laval)

  • Vigneau, Gilles

    (Université Laval)

Abstract

This paper examines the determinants of the "bid-asked" spread on the Canadian option market and evaluates their relative importance. It also sheds some light on the interrelationship between the "bid-asked" spread of options and that of their underlying securities in order to determine if the liquidity characteristics of the underlying security is transmitted to its option. Cet article présente un examen détaillé des déterminants de l’écart bid-asked sur le marché des options au Canada et analyse leur importance relative. Parallèlement, il fait la lumière sur l’interdépendance entre l’écart bid-asked des options et celui des actions sous-jacentes et vérifie si les caractéristiques de liquidité du titre sous-jacent se transmettent à son option.

Suggested Citation

  • Khoury, Nabil & Yourougou, Pierre & Vigneau, Gilles, 1991. "Les déterminants du coût de la liquidité immédiate sur le marché canadien des options," L'Actualité Economique, Société Canadienne de Science Economique, vol. 67(4), pages 499-516, décembre.
    • Handle: RePEc:ris:actuec:v:67:y:1991:i:4:p:499-516
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    Cited by:

    1. Nabil Khoury & Stylianos Perrakis & Marko Savor, 2010. "PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality," European Financial Management, European Financial Management Association, vol. 16(2), pages 211-228, March.

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