Abstract/Details

Bid and ask spreads in futures markets


1999 1999

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Abstract (summary)

This dissertation examines a number of empirical issues that arise in the trading of equity index futures and in research conducted using high frequency futures market data. Both essays benefit from a data set unique to futures market research. The dissertation consists of two essays.

The Bid and Ask spread of the FTSE-100 futures contract, presents evidence that bid-ask spreads of the FTSE-100 index futures market are wider than microstructure theory would predict because full point price quotes are systematically preferred over half point price quotes by market makers. The findings are even more pronounced for electronic trading in the automated pit trading (APT) session than during open outcry pit trading. Intraday patterns of spreads are presented, as well as, a spread estimation model that decomposes spreads into its components. A simple model allows the calculation of the total spread related costs of operating the FTSE-100 futures trading pit.

Market Structure and the performance of Spread Estimation Techniques in Futures Markets uses transaction data from the same data set to estimate bid-ask spreads with several different estimation techniques. The estimation techniques covered are covariance estimators, high frequency spread estimators, and structural models. The different spread estimates are compared to the actually observed spreads, and reasons for performance differences of the individual estimators are explored. If applied on high frequency data, spread estimation methods are found to be sensitive to the data collection procedure as well as to differences in market structure.

Indexing (details)


Subject
Finance
Classification
0508: Finance
Identifier / keyword
Social sciences; Bid and ask spreads; Futures markets; Spread estimation
Title
Bid and ask spreads in futures markets
Author
Henker, Thomas
Number of pages
128
Publication year
1999
Degree date
1999
School code
0118
Source
DAI-A 60/11, Dissertation Abstracts International
Place of publication
Ann Arbor
Country of publication
United States
ISBN
9780599530157, 0599530154
Advisor
Schneeweis, Thomas R.
University/institution
University of Massachusetts Amherst
University location
United States -- Massachusetts
Degree
Ph.D.
Source type
Dissertations & Theses
Language
English
Document type
Dissertation/Thesis
Dissertation/thesis number
9950160
ProQuest document ID
304514772
Copyright
Database copyright ProQuest LLC; ProQuest does not claim copyright in the individual underlying works.
Document URL
http://search.proquest.com/docview/304514772
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