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An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market by George H. K. Wang; Raphael J. Michalski; James V. Jordan; Eugene J. Moriarty is a scholarly article available to read on EtoBox.

What is An intraday analysis of Bid‐Ask spreads and price volatility in the S&P 500 index futures market about?

Current theory attributes the spread to three cost components: (1) Order-Processing [Demsetz (1968); Tinic (1972)l; (2) Inventory [Stoll (1978); Amihud and Mendelson (1980, 1982); Ho and Stoll (1981)] and (3) Adverse Information [Bagehot (1971); Copeland and Galai (1983), and others]. Competition would affect the total size of the spread inversely. The inventory component should be an increasing function of price volatility and trade size. The adverse information component may also be positively correlated with price volatility and trade size. 2Wang, Moriarty, Michalski, and Jordan (1988) found U-shaped bid-ask spreads and intraday price volatility in S&P 500 index futures. Jordan, Seale, Dinehart, and Kenyon (1988) found a U-shaped pattern in the volatility of soybean futures contracts. Ma, Peterson, and Sears (1992) found U-shaped patterns for bid-ask spreads in soybean, corn, T-bill, and silver futures contracts. Admati and Pfleiderer (1988) proposed a theory to explain the timing of intraday U-shaped patterns of volume and price volatility. Foster and Viswanathan (1 989) proposed a theory to explain interday trading patterns of volume and price volatility.

Author

George H. K. Wang; Raphael J. Michalski; James V. Jordan; Eugene J. Moriarty

Publisher

John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)

Published

1994

Language

EN