Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts

Journal of Futures Markets, pp. 455-486, May 2003

Posted: 29 Jul 2003

See all articles by Charlie Charoenwong

Charlie Charoenwong

Nanyang Technological University (NTU)

David K. Ding

Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Abstract

In this paper, intraday characteristics of thinly traded equity index futures contracts from the Singapore Exchange are examined. Though the BAS pattern during the trading day appears quite flat, an increase in risk widens the spread and a higher trading activity reduces it. The difference in volatility between days with and without trades is not significant. When trades do occur, there are more quote revisions, which is positively related to the number of trades. Higher quote revisions increase the likelihood of transactions and, when quotes are current, revisions that are accompanied by trades carry new information. We provide evidence that thinly traded contracts can be liquid if their price quotes are current.

Note: This is a description of the paper and not the actual abstract.

Keywords: Thinly traded futures contracts, Bid-ask spreads, Singapore Exchange

JEL Classification: G15, N25

Suggested Citation

Charoenwong, Charlie and Ding, David K., Bid-Ask Spreads, Volatility, Quote Revisions, and Trades of Thinly Traded Futures Contracts. Journal of Futures Markets, pp. 455-486, May 2003. Available at SSRN: https://ssrn.com/abstract=347180

Charlie Charoenwong

Nanyang Technological University (NTU) ( email )

Nanyang Business School, BF Division
S3-01c-104
Singapore, 639798
Singapore
+65 6790 4799 (Phone)
+65 6791 3697 (Fax)

David K. Ding (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
Singapore, 178899
Singapore
+65 6828-0245 (Phone)

Register to save articles to
your library

Register

Paper statistics

Abstract Views
804
PlumX Metrics