Asymmetric Futures Price Distribution and Bid-Ask Quotes
36 Pages Posted: 18 Aug 2009
Date Written: August 18, 2009
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
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