Asymmetric Futures Price Distribution and Bid-Ask Quotes

36 Pages Posted: 18 Aug 2009

See all articles by Lars L. Norden

Lars L. Norden

Stockholm University - Stockholm Business School

Date Written: August 18, 2009

Abstract

This study presents a model for estimating the asymmetry of the futures price with respect to the futures bid-ask spread. Using data from the Swedish OMXS 30 index futures market, estimation results show clear evidence of futures price asymmetry, where the futures price in general tends to be closer to the bid than to the ask quote. Moreover, in a futures market environment with a relatively low liquidity, the futures price tends to be closer to the bid quote, whereas the futures price is virtually symmetrically located within the futures spread when liquidity is relatively high.

Keywords: Futures bid-ask spread, asymmetry, liquidity

JEL Classification: G13

Suggested Citation

Nordén, Lars L., Asymmetric Futures Price Distribution and Bid-Ask Quotes (August 18, 2009). Available at SSRN: https://ssrn.com/abstract=1456846 or http://dx.doi.org/10.2139/ssrn.1456846

Lars L. Nordén (Contact Author)

Stockholm University - Stockholm Business School ( email )

Sweden

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
136
Abstract Views
925
rank
222,060
PlumX Metrics