FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2050379181> ?p ?o ?g. }

• W2050379181 endingPage "577" @default.
• W2050379181 startingPage "563" @default.
• W2050379181 abstract "This paper examines 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. This study reports 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. The study also reports that spreads are generally less when market makers are obliged to maintain continuous quotes in the market. The paper also finds that following the change in trading regime, both call and put option spreads became more sensitive to the absolute value of the option's delta. This finding is consistent with previous theoretical and empirical work from equities markets that has suggested that a switch to an electronic trading regime results in an increase in the adverse selection component of the bid–ask spread. There is also some limited evidence that suggests that the switch to electronic trading resulted in call option spreads being less sensitive to the return volatility of the underlying asset but more sensitive to the option's price." @default.
• W2050379181 created "2016-06-24" @default.
• W2050379181 creator A5069636289 @default.
• W2050379181 date "2003-01-01" @default.
• W2050379181 modified "2023-10-16" @default.
• W2050379181 title "An empirical examination of the impact of market microstructure changes on the determinants of option bid–ask spreads" @default.
• W2050379181 cites W1765051938 @default.
• W2050379181 cites W1966977762 @default.
• W2050379181 cites W1968075681 @default.
• W2050379181 cites W1968898055 @default.
• W2050379181 cites W1975369330 @default.
• W2050379181 cites W1979846182 @default.
• W2050379181 cites W1979986072 @default.
• W2050379181 cites W1985610319 @default.
• W2050379181 cites W1985808284 @default.
• W2050379181 cites W1986087317 @default.
• W2050379181 cites W2007440627 @default.
• W2050379181 cites W2021070008 @default.
• W2050379181 cites W2025268472 @default.
• W2050379181 cites W2027073747 @default.
• W2050379181 cites W2027081628 @default.
• W2050379181 cites W2032712062 @default.
• W2050379181 cites W2035606631 @default.
• W2050379181 cites W2043881376 @default.
• W2050379181 cites W2078312673 @default.
• W2050379181 cites W2079005611 @default.
• W2050379181 cites W2080782016 @default.
• W2050379181 cites W2081291360 @default.
• W2050379181 cites W2090100465 @default.
• W2050379181 cites W2112193723 @default.
• W2050379181 cites W2112352537 @default.
• W2050379181 cites W2151183163 @default.
• W2050379181 cites W2156314144 @default.
• W2050379181 cites W2161822461 @default.
• W2050379181 cites W3121530332 @default.
• W2050379181 cites W2047196615 @default.
• W2050379181 doi "https://doi.org/10.1016/s1057-5219(03)00063-2" @default.
• W2050379181 hasPublicationYear "2003" @default.
• W2050379181 type Work @default.
• W2050379181 sameAs 2050379181 @default.
• W2050379181 citedByCount "16" @default.
• W2050379181 countsByYear W20503791812013 @default.
• W2050379181 countsByYear W20503791812015 @default.
• W2050379181 countsByYear W20503791812017 @default.
• W2050379181 countsByYear W20503791812019 @default.
• W2050379181 countsByYear W20503791812023 @default.
• W2050379181 crossrefType "journal-article" @default.
• W2050379181 hasAuthorship W2050379181A5069636289 @default.
• W2050379181 hasConcept C10138342 @default.
• W2050379181 hasConcept C106159729 @default.
• W2050379181 hasConcept C106306483 @default.
• W2050379181 hasConcept C138060521 @default.
• W2050379181 hasConcept C144133560 @default.
• W2050379181 hasConcept C151730666 @default.
• W2050379181 hasConcept C162324750 @default.
• W2050379181 hasConcept C182306322 @default.
• W2050379181 hasConcept C183582576 @default.
• W2050379181 hasConcept C18991353 @default.
• W2050379181 hasConcept C194483076 @default.
• W2050379181 hasConcept C2776299251 @default.
• W2050379181 hasConcept C2777600642 @default.
• W2050379181 hasConcept C2779343474 @default.
• W2050379181 hasConcept C2780299701 @default.
• W2050379181 hasConcept C38652104 @default.
• W2050379181 hasConcept C39658296 @default.
• W2050379181 hasConcept C41008148 @default.
• W2050379181 hasConcept C51926234 @default.
• W2050379181 hasConcept C556758197 @default.
• W2050379181 hasConcept C76178495 @default.
• W2050379181 hasConcept C76281924 @default.
• W2050379181 hasConcept C86803240 @default.
• W2050379181 hasConcept C90329073 @default.
• W2050379181 hasConcept C91602232 @default.
• W2050379181 hasConceptScore W2050379181C10138342 @default.
• W2050379181 hasConceptScore W2050379181C106159729 @default.
• W2050379181 hasConceptScore W2050379181C106306483 @default.
• W2050379181 hasConceptScore W2050379181C138060521 @default.
• W2050379181 hasConceptScore W2050379181C144133560 @default.
• W2050379181 hasConceptScore W2050379181C151730666 @default.
• W2050379181 hasConceptScore W2050379181C162324750 @default.
• W2050379181 hasConceptScore W2050379181C182306322 @default.
• W2050379181 hasConceptScore W2050379181C183582576 @default.
• W2050379181 hasConceptScore W2050379181C18991353 @default.
• W2050379181 hasConceptScore W2050379181C194483076 @default.
• W2050379181 hasConceptScore W2050379181C2776299251 @default.
• W2050379181 hasConceptScore W2050379181C2777600642 @default.
• W2050379181 hasConceptScore W2050379181C2779343474 @default.
• W2050379181 hasConceptScore W2050379181C2780299701 @default.
• W2050379181 hasConceptScore W2050379181C38652104 @default.
• W2050379181 hasConceptScore W2050379181C39658296 @default.
• W2050379181 hasConceptScore W2050379181C41008148 @default.
• W2050379181 hasConceptScore W2050379181C51926234 @default.
• W2050379181 hasConceptScore W2050379181C556758197 @default.
• W2050379181 hasConceptScore W2050379181C76178495 @default.
• W2050379181 hasConceptScore W2050379181C76281924 @default.
• W2050379181 hasConceptScore W2050379181C86803240 @default.
• W2050379181 hasConceptScore W2050379181C90329073 @default.
• W2050379181 hasConceptScore W2050379181C91602232 @default.

• next