The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads Export

@article{citeulike:2132516, abstract = {This paper investigates empirically the direct effect of option trading on the structure of costs that comprise the underlying equity bid-ask spread. Our results show that the spread declines over a 30-day period following initiation of option trading, but the decline vanishes when price, volume, and volatility effects are considered. Changes in the composition of the spread reflect primarily a reduction in adverse information costs. Additionally, consistent with previous research, we find significant transaction-type clustering in our intraday data.}, author = {Kim, Suhkyong and Diltz, David J.}, citeulike-article-id = {2132516}, citeulike-linkout-0 = {http://dx.doi.org/10.1023/A:1008358627063}, day = {21}, doi = {10.1023/A:1008358627063}, journal = {Review of Quantitative Finance and Accounting}, keywords = {spreads}, month = {June}, number = {4}, pages = {395--413}, posted-at = {2007-12-16 15:08:59}, priority = {2}, title = {The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads}, url = {http://dx.doi.org/10.1023/A:1008358627063}, volume = {12}, year = {1999} }

TY - JOUR ID - citeulike:2132516 L3 - citeulike-article-id:2132516 N2 - This paper investigates empirically the direct effect of option trading on the structure of costs that comprise the underlying equity bid-ask spread. Our results show that the spread declines over a 30-day period following initiation of option trading, but the decline vanishes when price, volume, and volatility effects are considered. Changes in the composition of the spread reflect primarily a reduction in adverse information costs. Additionally, consistent with previous research, we find significant transaction-type clustering in our intraday data. IS - 4 JF - Review of Quantitative Finance and Accounting EP - 413 TI - The Effect of Option Trading on the Structure of Equity Bid/Ask Spreads VL - 12 SP - 395 KW - spreads AU - Kim, Suhkyong AU - Diltz, David PY - 1999/06/21/ UR - http://dx.doi.org/10.1023/A:1008358627063 ER -