Competition without fungibility: Evidence from alternative market structures for derivatives

Journal of Banking and Finance

Volumn 31, Issue 3, 2007, Pages 659-677

  Bartram, Söhnke M ^a   Fehle, Frank ^b  

^a LANCASTER UNIVERSITY MANAGEMENT SCHOOL   (United Kingdom)

^b Barclays   (United Kingdom)

Author keywords

Bid ask spreads; Market design; Microstructure; Options

Indexed keywords

EID: 33847176940     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.02.004     Document Type: Article

References (16)

1. Bartram, S.M., Fehle, F., Shrider, D., 2006. Does investor sophistication affect bid-ask spreads? Working Paper, Miami University.
2. Battalio R., Hatch B., and Jennings R. Does a national market system exist for US exchange-listed equity options. Journal of Finance 59 (2004) 933-962
3. Börse Stuttgart. Jahresbericht 2000 der Baden-Württembergischen Wertpapierbörse (2001), EuWax, Stuttgart, Germany
4. Börse Stuttgart. EuWax - das Marksegment für verbriefte Derivate (2002), EuWax, Stuttgart, Germany
5. Chan H.W.H., and Pinder. The value of liquidity: Evidence from the derivatives market. Pacific-Basin Finance Journal 8 (2000) 483-503
6. De Fountnouvelle P., Fishe R.P.H., and Harris J.H. The behavior of bid-ask spreads and volume in options markets during the competition for listings in 1999. Journal of Finance 58 (2003) 2437-2464
7. EuRex Communications. EuRex Trading Quick Reference Guide (1999), EuRex, Frankfurt, Germany
8. EuRex Communications. EuRex Market Making (2002), EuRex, Frankfurt, Germany
9. EuRex Communications. EuRex Monthly Statistics July 2002 (2002), EuRex, Frankfurt, Germany
10. Goldman Sachs. Wertpapier-Verkaufsprospekt (2000), Goldman Sachs, Frankfurt, Germany
11. Horst, J., Veld, C., 2002. Behavioral preferences for individual securities: The case for call warrants and call options. Working Paper, Tilburg University.
12. International Warrant Institute. The World Warrant Market (2002), International Warrant Institute, Paris, France
13. Mayhew S. Competition, market structure, and bid-ask spreads in stock option markets. Journal of Finance 57 (2002) 931-958
14. McHattie A. Covered Warrants. first ed. (2002), Harriman House, London
15. Petrella, G., 2001. Option market making: Theory and evidence. Working Paper, Università Cattolica del Sacro Cuore.
16. Wang, E., 2000. Competition among exchanges: Does multiple listing affect trading costs on option markets? Working Paper, University of Chicago.