Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets

Liu, Qingfu; Hua, Renhai; An, Yunbi

doi:10.1016/j.pacfin.2016.04.002

Cited by 13 publications

(6 citation statements)

References 65 publications

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“…Ripamonti (2016), in studying the emerging market of Brazil, finds a relation between the asymmetric information measure of spread and variables such as the market-to-book ratio, debt on equity, size, and return. In the Chinese futures commodity market, Liu et al (2016) find a positive relationship between bid-ask spreads and volatility and a negative relation with trading volume. In the Indian market, Chakrabarty and Jain (2005) examined variables affecting the bid-ask spread of NSE-listed stocks using only day-end data.…”

Section: Determinants Of Spreadmentioning

confidence: 93%

A comprehensive study on bid-ask spread and its determinants in India

Pan

Misra

2021

Cogent Economics & Finance

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Section: Determinants Of Spreadmentioning

confidence: 93%

A comprehensive study on bid-ask spread and its determinants in India

Pan

Misra

2021

Cogent Economics & Finance

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“…Previous research has extensively used the bid-ask spread as a measure of information asymmetry (Easley et al , 1996; Huang and Stoll, 1997; Zhao et al , 2013; Liu et al , 2016). Glosten and Harris (1988) have found that information asymmetry and volatility during the announcements affect bid-ask spread ( BAS ).…”

Section: Methodsmentioning

confidence: 99%

Information asymmetry and insider trade profitability in India

Iqbal

Shijin

2018

JIBR

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Purpose This study aims to measure the magnitude of information asymmetry between insiders and outsiders in Indian equity market. The study also investigates the effect of major information sources that affect information asymmetry namely, the informativeness of financial statements, news reports about the company and analyst follow-up. Design/methodology/approach Six-month profitability of insider trade was used as the proxy to measure information asymmetry. Fama-MacBeth two-stage regression was used to analyse the effect of information sources upon information asymmetry. Findings The results of the analysis demonstrate that in comparison with findings of similar studies the level of information asymmetry is comparatively high in India. On an average, profitable insider traders in India earn 19.28 per cent return than outside investors. Purchase transactions are more profitable than sales transactions, while the size of company and information asymmetry is associated inversely. Further, news and analyst follow-up are inversely associated with information asymmetry whereas informativeness of financial statements has little effect on information asymmetry. Practical implications The study have important insights for corporates in insider information management and legal compliance of insiders’ market activities. Results pointing to the requirements of a deeper Regulatory monitoring and stringent legal framework. Social implications The result validates the concerns of investor protection against informed trade. Originality/value The measurement of information asymmetry using profitability of insider trade is novel in Indian context even though the methodology is often used in the literature.

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“…Kalaitzoglou and Ibrahim (2015) measure the liquidity of the European carbon futures market with the conditional weighted trading volume. Cai, Hudson, and Keasey (2004), Bortoli, Frino and Jarecic (2010), and Liu, Hua, and An (2016) use price, trading volume, and duration to measure liquidity, with both low‐frequency and high‐frequency data. Roll (1984) measures liquidity using the covariance of price fluctuation.…”

Section: Introductionmentioning

confidence: 99%

The market quality of commodity futures markets

Liu

Luo

Tse

et al. 2020

Journal of Futures Markets

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To study the market quality of commodity futures markets, we construct a commodity futures market quality index from the perspective of liquidity, efficiency, and volatility. Based on the market quality index, the Chinese commodity futures market operates steadily. The metal futures market is more efficient and stable than the market for agricultural futures. The Chinese commodity futures market is less liquid and more volatile than the U.S. market. We examine the determinants of market quality and find that macroeconomic variables and futures market contracts are significantly related to the market quality of Chinese commodity futures.

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Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets

Cited by 13 publications

References 65 publications

A comprehensive study on bid-ask spread and its determinants in India

A comprehensive study on bid-ask spread and its determinants in India

Information asymmetry and insider trade profitability in India

The market quality of commodity futures markets

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