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The intraday behaviour of bid-ask spreads, returns and volatility for FTSE 100 stock index options

Record type: Article

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

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Citation

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), pp. 20-32.

More information

Published date: 1997
Additional Information: Summer 1997

Identifiers

Local EPrints ID: 37372
URI: http://eprints.soton.ac.uk/id/eprint/37372
ISSN: 1074-1240
PURE UUID: 16cc67f1-dbad-45f7-a3a1-f723e27c2fc6

Catalogue record

Date deposited: 30 Apr 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Owain Ap Gwilym
Author: Mike Buckle
Author: Stephen Thomas

University divisions


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