Trading activity and bid-ask spreads of individual equity options

Journal of Banking and Finance

Volumn 34, Issue 12, 2010, Pages 2897-2916

  Wei, Jason ^a   Zheng, Jinguo ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b Peking University   (China)

Author keywords

Bid ask spread; Liquidity; Liquidity determinants; Open interest; Option expiration cycles; Trading activity; Volume

Indexed keywords

EID: 77956895987     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.02.012     Document Type: Article

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