Price clustering and bid-ask spreads in international bond futures

Journal of International Financial Markets, Institutions and Money

Volumn 8, Issue 3-4, 1998, Pages 377-391

  Ap Gwilym, Owain ^a   Clare, Andrew ^b   Thomas, Stephen ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

Bid ask spreads; Clustering; Futures; G12

Indexed keywords

EID: 0032324601     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(98)00045-6     Document Type: Article

References (21)

1. Aitken M., Brown P., Buckland C., Izan H.Y., Walter T. Price clustering on the Australian Stock Exchange. Pacific Basin Finance J. 4:1996;297-314.
2. ap Gwilym, O., Clare, A., Thomas, S., 1998. Extreme price clustering in the London equity index futures and options markets. J. Banking Finance 22, 1193-1206.
3. Ball C.A., Torous W.A., Tschoegl A.E. The degree of price resolution: the case of the gold market. J. Futures Markets. 5:1985;29-43.
4. Bessembinder H. The degree of price resolution and equity trading costs. J. Financial Econ. 45:1997;9-34.
5. Brown S., Laux P., Schachter B. On the existence of an optimal tick size. Rev. Futures Markets. 10:1991;50-72.
6. Bollerslev T., Melvin M. Bid-ask spreads and volatility in the foreign exchange market: an empirical analysis. J. Int. Econ. 36:1994;355-372.
7. Christie W.G., Schultz P.H. Why do Nasdaq market makers avoid odd-eighth quotes? J. Finance. 49:1994;1813-1840.
8. Christie W.G., Harris J.H., Schultz P.H. Why did Nasdaq market makers stop avoiding odd-eighth quotes? J. Finance. 49:1994;1841-1860.
9. Copeland T.E., Galai D. Information effects on the bid-ask spread. J. Finance. 38:1983;1457-1469.
10. Goodhart, C., Curcio, R., 1991. The clustering of bid-ask prices and the spread in the foreign exchange market, London School of Economics, Financial Markets Group Discussion Paper 110.
11. Gottlieb G., Kalay A. Implications of the discreteness of observed stock prices. J. Finance. 40:1985;135-153.
12. Grossman, S.J., Miller, M.H., Fischel, D.R., Cone, K.R., Ross, D.J., 1997. Clustering and competition in asset markets, J. Law. Econ. 40, 23-60.
13. Harris L.E. Stock price clustering and discreteness. Rev. Financial Stud. 4:1991;389-415.
14. Ho T., Stoll H. The dynamics of dealer markets under competition. J. Finance. 38:1983;1053-1074.
15. Kleidon, A., Willig, R., 1995. Why do Christie and Schultz infer collusion from their data? Working paper, Cornerstone Research, New York.
16. Lee C., Mucklow B., Ready M. Spreads, depths, and the impact of earnings information: an intraday analysis. Rev. Financial Stud. 6:1993;345-374.
17. Lyons R. Tests of microstructural hypotheses in the foreign exchange market. J. Financial Econ. 39:1995;321-351.
18. McInish T.H., Wood R.A. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. J. Finance. 47:1992;753-764.
19. Smith T., Whaley R.E. Estimating the effective bid/ask spread from time and sales data. J. Futures Markets. 14:1994;437-455.
20. Strait, P.T., 1989. Probability and statistics with applications, Harcourt Brace Jovanovich, San Diego.
21. US Securities and Exchange Commission, 1996. Report pursuant to section 21(a) of the Securities Exchange Act of 1934 regarding the NASD and the Nasdaq stock market, US Government Printing Office, Washington, DC.