How Electronic Trading Affects Bid‐Ask Spreads and Arbitrage Efficiency Between Index Futures and Options

Yiuman Tse; Kevin H. K. Cheng; Joseph K. W. Fung

doi:10.1002/fut.20152

How Electronic Trading Affects Bid‐Ask Spreads and Arbitrage Efficiency Between Index Futures and Options

Yiuman Tse, Kevin H. K. Cheng, Joseph K. W. Fung

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	The Journal of Futures Markets
Volume	25
DOIs	https://doi.org/10.1002/fut.20152
State	Published - 2005

Disciplines

Economics

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title = "How Electronic Trading Affects Bid‐Ask Spreads and Arbitrage Efficiency Between Index Futures and Options",

author = "Yiuman Tse and Cheng, \{Kevin H. K.\} and Fung, \{Joseph K. W.\}",

note = "This paper examines the impact of switching to electronic trading on the relative pricing efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong exchange. The study is mo...",

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doi = "10.1002/fut.20152",

language = "American English",

volume = "25",

journal = "The Journal of Futures Markets",

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AU - Cheng, Kevin H. K.

AU - Fung, Joseph K. W.

N1 - This paper examines the impact of switching to electronic trading on the relative pricing efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong exchange. The study is mo...

PY - 2005

Y1 - 2005

UR - https://doi.org/10.1002/fut.20152

U2 - 10.1002/fut.20152

DO - 10.1002/fut.20152

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VL - 25

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

ER -

How Electronic Trading Affects Bid‐Ask Spreads and Arbitrage Efficiency Between Index Futures and Options

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