Competition, market structure, and bid-ask spreads in stock option markets

Journal of Finance

Volumn 57, Issue 2, 2002, Pages 931-958

  Mayhew, Stewart ^a  

^a UNIVERSITY OF GEORGIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042242629     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6261.00447     Document Type: Article

References (11)

1. Amin, Kaushik I., and Charles M. C. Lee, 1997, Option trading, price discovery, and earnings news dissemination, Contemporary Accounting Research 14, 153-192.
2. Ap Gwilym, Owain, Mike Buckle, and Stephen Thomas, 1997, The intraday behavior of bid-ask spreads, returns, and volatility for FTSE-100 stock index options, Journal of Derivatives 4 (Summer), 20-32.
3. Battalio, Robert, Brian Hatch, and Robert Jennings, 2000, Does a national market system exist for U.S. exchange-listed equity options?: An analysis of multiple-traded equity options, Working paper, University of Notre Dame.
4. Berkman, Henk, 1993, The market spread, limit orders, and options. Journal of Financial Services Research 6, 399-415.
5. Chan, Kalok, Y. Peter Chung, and Herb Johnson, 1995, The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options, Journal of Financial and Quantitative Analysis 30, 329-346.
6. De Fountnouvelle, Patrick, Raymond P. H. Fishe, and Jeffrey H. Harris, 2000, The behavior of bid-ask spreads and volume in options markets during the listings competition in 1999, Working paper, U.S. Securities and Exchange Commission.
7. Grossman, Sanford J., and Merton H. Miller, 1988, Liquidity and market structure, Journal of Finance 43, 617-633.
8. Madhavan, Ananth, 1988, An empirical model of competitive dealer markets, Doctoral dissertation (Chapter III), Cornell University.
9. Neal, Robert, 1987, Potential competition and actual competition in equity options, Journal of Finance 42, 511-531.
10. Neal, Robert, 1992, A comparison of transaction costs between competitive market maker and specialist market structures, The Journal of Business 65, 317-334.
11. Wang, Elizabeth, 2000, Competition among exchanges: Does multiple listing affect trading costs on options markets?, Working paper, University of Chicago.