Determinants of Option Spreads In A Multiple Listing Environment

Authors

Rebecca Abraham, Nova Southeastern University
Charles Harrington, Nova Southeastern UniversityFollow

Abstract

This study empirically determined the predictors of bid-ask spreads of equity options within the context of the current multiple-listed options market. Price emerged as the most powerful predictor followed by multiple listing. Price and volatility increased spreads, while multiple listing and volume reduced them. Multiple listing was more powerful than volume in explaining spreads. This study establishes that spread reductions prevail several years after initial multiple listing and supports the importance of competition over economies of scale in explaining spreads.

Volume

2

Issue

1

First Page

20

Last Page

27

DOI

10.58809/MHMX9967

Comments

For questions contact ScholarsRepository@fhsu.edu

Rights

© Fort Hays State University

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Recommended Citation

Abraham, Rebecca and Harrington, Charles (2006) "Determinants of Option Spreads In A Multiple Listing Environment," Journal of Business & Leadership: Research, Practice, and Teaching (2005-2012): Vol. 2: No. 1, Article 4.
DOI: 10.58809/MHMX9967
Available at: https://scholars.fhsu.edu/jbl/vol2/iss1/4