Maturity Effect on Bid-Ask Spreads of OTC Currency Options
Tóm tắt
Từ khóa
Tài liệu tham khảo
Benston, G. J. and R. L. Hagerman, “Determinants of Bid-Ask Spreads in the Over-the-Counter Market. ” Journal of Financial Economics 1, 353–364 (1974).
Cherian, J. A. and W. Y. Weng, “An Empirical Analysis of Directional and Volatility Trading in Options Markets. ” Journal of Derivatives Winter, 53–65 (1999).
Cho, Y. H. and R. F. Engle, “Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market. ” NBER Working Paper No. 7331, 1–30 (1999).
Copeland, T. E. and D. Galai, “Information Effects on the Bid-Ask Spread. ” Journal of Finance 38, 1457–1469 (1983).
Cox, J. C., J. E. Ingersoll and S. A. Ross, “Duration and the Measurement of Basis Risk. ” Journal of Business 52, 51–61 (1979).
Cox, J. C., J. E. Ingersoll and S. A. Ross, “A Theory of the Term Structure of Interest Rates. ” Econometrica 53, 385–407 (1985).
Demsetz, H., “The Costs of Transacting. ” Quarterly Journal of Economics 82, 33–53 (1968).
Ding, D. K., “The Determinants of Bid-Ask Spreads in the Foreign Exchange Futures Market: A Microstructure Analysis. ” Journal of Futures Markets 19, 307–324 (1999).
Ding, D. K. and B. S. Chong, “Simex Nikkei Futures Spreads and Their Determinants. ” Advances in Pacific Basin Financial Markets 3, 39–53 (1997).
Dothan, L. U., “On the Term Structure of Interest Rates. ” Journal of Financial Economics 6, 59–69 (1978).
Easley, D., M. O'Hara and P. S. Srinivas, “Option Volume and Stock Prices: Evidence on where Informed Traders Trade. ” Journal of Finance 53, 431–465 (1998).
Etling, C. and T.W. Miller, “The Relationship Between Index Option Moneyness and Relative Liquidity. ” Journal of Futures Markets 20, 971–987 (2000).
Fons, J. S., “Using Default Rates to Model the Term Structure of Credit Risk. ” Financial Analysts Journal 50, 25–31 (1994).
Glosten, L. and P. R. Milgrom, “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders. ” Journal of Financial Economics 14, 71–100 (1985).
Hamilton, J., “Marketplace Organization and Marketability: NASDAQ, the Stock Exchange, and the National Market System. ” Journal of Finance 33, 487–503 (1978).
Hasbrouck, J., “Trades, Quotes, Inventories and Information. ” Journal of Financial Economics 22, 229–252 (1988).
Ho, T. and H. R. Stoll, “Optimal Dealer Pricing under Transactions and Return Uncertainty. ” Journal of Financial Economics 9, 47–73 (1981).
Hopewell, M. H. and G. G. Kaufman, “Bond PriceVolatility and Term to Maturity: A Generalized Respecification. ” American Economic Review 63, 749–753 (1973).
Hull, J., Options, Futures, and Other Derivatives, 4 edition. Englewood Cliffs, NJ: Prentice-Hall, 2000.
Leland, H. E. and K. B. Toft, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads. ” Journal of Finance 51, 987–1019 (1996).
McInish, T. H. and R. A. Wood, “An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks. ” Journal of Finance 47, 753–763 (1992).
Neal, R., “Potential Competition and Actual Competition in Equity Options. ” Journal of Finance 42, 511–531 (1987).
Stoll, H., “The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks. ” Journal of Finance 33, 1153–1172 (1978).
Tinic, S., “The Economics of Liquidity Services. ” Quarterly Journal of Economics 86, 79–93 (1972).
Tinic, S. and R. West, “Competition and the Pricing of Dealer Services in the Over-the-Counter Market. ” Journal of Financial and Quantitative Analysis 8, 1707–1727 (1972).
Tse, Y., “Market Microstructure of FT-SE 100 Index Futures: An Intraday Empirical Analysis. ” Journal of Futures Market 19, 31–58 (1999).