The intraday behaviour of bid-ask spreads, returns and volatility for FTSE 100 stock index options
Ap Gwilym, Owain, Buckle, Mike and Thomas, Stephen (1997) The intraday behaviour of bid-ask spreads, returns and volatility for FTSE 100 stock index options. Journal of Derivatives, 4, (4), 20-32.
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Description/Abstract
The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask spreads, returns, volatility, and volume. Both clear differences and similarities are found with the previous results for other markets. Spreads are found to be wide near the market open and narrow near the close. Although this contrasts with some previous evidence in U.S. stock and futures markets of a U-shaped pattern in intraday spreads, it is consistent with other recent research, and the differences may be explained by differing market structures. No clear pattern emerges in options returns, but there is a U-shape across the day in returns volatility and in volume. The results help to differentiate between the competing theories of the intraday behavior of these key variables
| Item Type: | Article |
|---|---|
| Additional Information: | Summer 1997 |
| ISSNs: | 1074-1240 (print) |
| Related URLs: | |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 37372 |
| Date Deposited: | 30 Apr 2007 |
| Last Modified: | 02 Mar 2012 11:47 |
| Contributors: | Ap Gwilym, Owain (Author) Buckle, Mike (Author) Thomas, Stephen (Author) |
| Date: | 1997 |
| Additional Information: | Summer 1997 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/37372 |
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