Maturity Effect on Bid-Ask Spreads of Otc Currency Options
The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists eve...
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2002
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sg-smu-ink.lkcsb_research-17402010-09-23T06:24:04Z Maturity Effect on Bid-Ask Spreads of Otc Currency Options Chong, B.S. DING, David K. Tan, K.H. The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists even after controlling for the effects of price risks, competition, and trading activity. The pronounced differences in the term-to-maturity results are attributable to the market risk effect and differences in the market structure of options and futures markets. 2002-05-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/741 info:doi/10.1023/A:1024883004298 https://doi.org/10.1023/A:1024883004298 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business |
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Business Chong, B.S. DING, David K. Tan, K.H. Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
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The paper ascertains the relation between bid-ask spreads and the contract maturity of OTC currency options. Contrary to previous findings in the futures market, spreads of currency options are found to be negatively related to the contract's term-to-maturity. The negative relation persists even after controlling for the effects of price risks, competition, and trading activity. The pronounced differences in the term-to-maturity results are attributable to the market risk effect and differences in the market structure of options and futures markets. |
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text |
| author |
Chong, B.S. DING, David K. Tan, K.H. |
| author_facet |
Chong, B.S. DING, David K. Tan, K.H. |
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Chong, B.S. |
| title |
Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
| title_short |
Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
| title_full |
Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
| title_fullStr |
Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
| title_full_unstemmed |
Maturity Effect on Bid-Ask Spreads of Otc Currency Options |
| title_sort |
maturity effect on bid-ask spreads of otc currency options |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2002 |
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https://ink.library.smu.edu.sg/lkcsb_research/741 https://doi.org/10.1023/A:1024883004298 |
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1770569670259113984 |