Article1995

The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

Kalok Chan · Y. Peter Chung · Herb Johnson

159 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Kalok Chan, Y. Peter Chung, Herb Johnson, The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 3 (Sep., 1995), pp. 329-346

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1983Information Effects on the Bid-Ask Spread 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS 1981Optimal dealer pricing under transactions and return uncertainty 1992Time and the Process of Security Price Adjustment

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