Bid-Ask Spreads, Volatility, Quote Revisions and Trades of Thinly Traded Futures Contracts
Intraday bid-ask spreads (BAS), volatility, and trading activity of thinly traded equity index futures contracts on the Singapore Exchange are investigated. Contrary to previous findings, a rather flat BAS pattern in found during the trading day. However, consistent with past findings, an increase i...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2003
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/1161 |
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| 機構: | Singapore Management University |
| 語言: | English |