The Behavior of bid-ask spreads and volume in options markets during the competition for listings in 1999

• 成果类型: Article
• 署名作者: De Fontnouvelle, P; Fishe, RPH; Harris, JH
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Richmond; University of Delaware
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1046/j.1540-6261.2003.00611.x
• 发表日期: 2003
• 页码: 2437-2463
• 关键词: SPECIALIST MARKET; informed traders; STOCK; INFORMATION; price; liquidity; insider; makers; COSTS

摘要

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.