THE INTRADAY BEHAVIOR OF BID-ASK SPREADS FOR NYSE STOCKS AND CBOE OPTIONS

被引：72

作者：

CHAN, K ^{[1
]}

CHUNG, YP ^{[1
]}

JOHNSON, H ^{[1
]}

机构：

[1] UNIV CALIF RIVERSIDE,ANDERSON GRAD SCH MANAGEMENT,RIVERSIDE,CA 92521

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1995年 / 30卷 / 03期

关键词：

D O I：

10.2307/2331344

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks, We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern-one that declines sharply after the open, and then levels off. Our results suggest that both the degree of competition in market making and the extent of informed trading are important for understanding the intraday behavior of spreads.

引用

页码：329 / 346

页数：18

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