Time-varying bid-ask components of Nikkei 225 index futures on SIMEX

Pacific Basin Finance Journal

Volumn 10, Issue 2, 2002, Pages 183-200

  Kim, In Joon ^a   Ko, Kwangsoo ^b   Noh, Seok Kyun ^a  

^a Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^b Korea Securities Research Institute   (South Korea)

Author keywords

Adverse information costs; Bid ask spreads; Generalized method of moments (GMM); Inventory holding costs; Order processing costs

Indexed keywords

EID: 0036123440     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(01)00040-3     Document Type: Article

References (29)

1. Quotes, prices, and estimates in a laboratory market
2. Market Transparency: Who wins and who loses?
3. Periodic market closure and trading volume: A model of intraday bids and asks
4. Liquidity costs and scalping returns in the corn futures markets
5. On the estimation of bid-ask spreads: Theory and evidence
6. Intraday futures volatility and theories of market behavior
7. The cost of transacting
8. Price, trade size, and information in securities markets
9. Estimation of the bid-ask spread and its components: A new approach
10. Components of the bid-ask spread and the statistical properties of transaction prices
11. Estimating the components of the bid/ask spread
12. A transaction data study of weekly and intradaily patterns in stock returns
13. The components of the bid-ask spread: A general approach
14. The dependence between hourly prices and trading volume
15. Scalper behavior in futures markets: An empirical examination
16. Inferring trade direction from intraday data
17. Trade size and components of the bid-ask spread
18. Trading noise, adverse selection and the intraday bid-ask spreads in futures markets
19. Why do securities prices change? A transaction-level analysis of NYSE stocks
20. Trading mechanisms in securities markets
21. Life in the pits: Competitive market making and inventory control
22. An analysis of intraday patterns in bid/ask spreads for NYSE stocks
23. Quoted and effective spreads on Taiwan stocks
24. A simple implicit measure of the effective bid-ask spread in an efficient market
25. Marketmaker behavior in an auction market: An analysis of scalpers in futures markets
26. Inferring the components of the bid-ask spread: Theory and empirical tests
27. A theory of trading in stock index futures
28. Market microstructure of FT-SE 100 index futures: An intraday empirical analysis
29. Empirical Analysis of the Liquidity of the S&P 500 Index Futures Market During the October 1987 Market Break