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The Behavior of Bid‐Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999
Open accessAbstract
In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple‐listing status by the end of September. Effective and quoted bid–ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs.
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Citations
Cited by
Cross-section of option returns and volatility☆
Goyal, A., & Saretto, A. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2009.01.001 · Cited by 417
Unlocking ESG Premium from Options
Cao, J., Goyal, A., Zhan, X., & Zhang, W. E. (2023) · doi:10.2139/ssrn.3878123 · Cited by 16
Metadata
- Authors
- De Fontnouvelle, P., Fishe, R. P. H., & Harris, J. H.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2003-11-07
- Volume
- 58
- Issue
- 6
- Pages
- 2437-2463
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125361400
- Cited by
- 162
- References
- 0
- FWCI
- 11.59
- Type
- journal article
- Language
- en
- Open access
- green
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- De Fontnouvelle, P., Fishe, R. P. H., & Harris, J. H. (2003). The Behavior of Bid‐Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999. The Journal of Finance. https://doi.org/10.1046/j.1540-6261.2003.00611.x
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