دانلود مقاله ISI انگلیسی شماره 48926
عنوان فارسی مقاله

گسترش آزمون تجربی تاثیر تغییرات ساختار بازار بر روی عوامل تعیین کننده گزینه اسپرد قیمت خرید و فروش

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48926 2003 15 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
An empirical examination of the impact of market microstructure changes on the determinants of option bid–ask spreads
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 12, Issue 5, 2003, Pages 563–577

کلمات کلیدی
اسپرد قیمت خرید و فروش - ساختار بازار - گزینه ها
پیش نمایش مقاله
پیش نمایش مقاله گسترش آزمون تجربی تاثیر تغییرات ساختار بازار بر روی عوامل تعیین کننده گزینه اسپرد قیمت خرید و فروش

چکیده انگلیسی

This paper examines the determinants of bid–ask spreads in the Australian Options Market before and after it switched from a quote-driven floor-traded market to an order-driven screen-traded market. This study reports that both put and call option bid–ask spreads are positively related to the option's value, its remaining term-to-maturity, its absolute hedge ratio and the volatility of returns from the underlying asset and negatively related to the level of trading activity in that option series. The study also reports that spreads are generally less when market makers are obliged to maintain continuous quotes in the market. The paper also finds that following the change in trading regime, both call and put option spreads became more sensitive to the absolute value of the option's delta. This finding is consistent with previous theoretical and empirical work from equities markets that has suggested that a switch to an electronic trading regime results in an increase in the adverse selection component of the bid–ask spread. There is also some limited evidence that suggests that the switch to electronic trading resulted in call option spreads being less sensitive to the return volatility of the underlying asset but more sensitive to the option's price.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.