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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Bibliographic Details
Main Authors: DING, David K., Charoenwong, C.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1161
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Institution: Singapore Management University
Language: English
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