Bidask spreads in commodity futures markets Academic Article

abstract

• Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First, competing spread estimators are applied to open outcry transactions data and resulting estimates are compared to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bid-ask estimators in markets that do not report bid and ask data, providing an idea of the 'worst-case' transaction costs that are likely to be incurred. Also compared, are spreads observed before and after trading was automated (and made anonymous) on commodity futures markets, and it is discovered that spreads have generally widened since trading was automated, and that they have an increased tendency to widen in periods of high volatility. These findings suggest that commodity futures markets have an inherently different character than financial futures markets, and therefore merit separate investigation. 2004 Taylor and Francis Ltd.

authors

• Bryant, Henry

published proceedings

• Applied Financial Economics

author list (cited authors)

• Bryant, H. L., & *, M.

citation count

• 29

complete list of authors

• Bryant, Henry L||*, Michael S Haigh

publication date

• September 2004

publisher

• Taylor & Francis  Publisher

published in

• Applied Financial Economics  Journal

Digital Object Identifier (DOI)

• 10.1080/0960310042000284669

start page

• 923

end page

• 936

volume

• 14

issue

• 13

URL

• http://dx.doi.org/10.1080/0960310042000284669