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 market for OMXS 30 index futures,
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, futures market liquidity
is a significant determinant of futures price asymmetry. In a market environment with a
relatively wide futures bid-ask spread and worse futures hedging performance, the futures
price tends to be closer to the bid quote, whereas the futures price is virtually symmetrically
located within the futures spread when the spread is relatively narrow and hedging
performance is better. The results imply that representing a futures price with the bid-ask
midpoint results in a bias, particularly at an illiquid futures market, overestimating the true
futures price.
Keywords: Futures bid-ask spread; asymmetry; liquidity
학술대회/행사
학술대회안내
[2008년 제 4차] Asymmetric Futures Price Distribution and Bid-Ask Q
작성자 : 관리자
조회수 : 1042
게시일 :
2008-12-11