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| Author: | Pinder, S. |
| Title: | An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads |
| Journal: | International Review of Financial Analysis
2003 : VOL. 12:5, p. 563-577 |
| Index terms: | Bidding Market structure Options Australia |
| Language: | eng |
| Abstract: | The determinants of bid-ask spreads in the Australian Options Market before and after it switched from a quote-driven floor-traded market to an order-driven screen-traded market are examined. It is reported in this study that both put and call option bid-ask spreads are positively related to the option's value, its remaining term-to-maturity, its absolute hedge ratio and the volatility of returns from the underlying asset and negatively related to the level of trading activity in that option series. |
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