The Behavior of Bid-Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999

By P. D. Fontnouvelle, R. Fishe, Jeffrey H. Harris. 2003

147 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/342a2de6280971ea6f5f5ec874e81c4f9707d8ea

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In Finance

1. Charles M. Jones
2. Terrence Hendershott
3. Amit Goyal
4. Alessio Saretto
5. Tālis J. Putniņš
6. Albert J. Menkveld
7. Peter Hoffmann
8. Turan G. Bali

Citations in the corpus

• Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, background): “Recent examples include the Nasdaq order handling rules [Barclay et al. (1999)] and the cross-listing of equity options [ de Fontnouvelle, Fishe, and Harris (2003) , Battalio, Hatch, and Jennings (2004)].”
• Competition for Order Flow and Smart Order Routing Systems (2008, unknown): “Battalio (1997), Mayhew (2003), DeFontnouvelle et al. (2003) ,”
• Cross-Section of Option Returns and Volatility (2009, background): “De Fontnouvelle, Fisher, and Harris (2003) and Mayhew (2002) document that the effective spreads for equity options are large in absolute terms but small relative to the quoted spreads.”
• Demand-Based Option Pricing (2009, unknown): “See for instance De Fontnouvelle, Fishe, and Harris (2003) for a detailed discussion of this well-known structural break.”