The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options

J. Board and Charles Sutcliffe

Working Papers from University of Southampton - Department of Accounting and Management Science

Abstract: It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity options quotes is studied to see whether delayed publication widens the bid-ask spread. Second, regression analysis using daily and 30-minute data is applied to quantify the effects of non-transparent equity trades on the options market.

Keywords: FINANCIAL MARKET; INTERNATIONAL FINANCE; STOCK MARKET; SHAREHOLDERS (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1996
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