Determinants of option spreads in a multiple listing environment

Author(s)

Rebecca Abraham, Nova Southeastern UniversityFollow
Charlie W. Harrington, Jr., Nova Southeastern UniversityFollow

ORCID

Rebecca Abraham 0000-0002-3144-7759

Document Type

Article

Publication Title

Journal of Business & Leadership

ISSN

1559-3355

Publication Date

2006

Abstract/Excerpt

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.

DOI

https://doi.org/10.58809/MHMX9967

Volume

2

Issue

1

Document Number

4

First Page

20

Last Page

27

Creative Commons License

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

NSUWorks Citation

Abraham, Rebecca and Harrington, Jr., Charlie W., "Determinants of option spreads in a multiple listing environment" (2006). HCBE Faculty Articles. 847.
https://nsuworks.nova.edu/hcbe_facarticles/847