Competition, market structure, and bid-ask spreads in stock option markets
成果类型：
Article
署名作者：
Mayhew, S
署名单位：
University System of Georgia; University of Georgia
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/1540-6261.00447
发表日期：
2002
页码：
931-958
关键词：
摘要：
This paper examines the effects of competition and market structure on equity option bid-ask spreads from 1986 to 1997. Options listed on multiple exchanges have narrower spreads than those listed on a single exchange, but the difference diminishes as option volume increases. Option spreads become wider when a competing exchange delists the option. Options traded under a Designated Primary Marketmaker (DPM) have narrower quoted spreads than those traded in a traditional open outcry crowd. Effective spreads are found to be slightly narrower under the DPM than in the crowd, but only since 1992, and only on low-volume options.
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