Bid‐Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets
利用文献中的度量方法和改进的贝叶斯方法，估计活牛和生猪期货市场的流动性成本及其决定因素，发现交易量和波动性与买卖价差显著相关，电子交易对流动性成本有竞争效应。
Using literature‐based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog futures markets. Volume and volatility are simultaneously determined and significantly related to the bid‐ask spread. Daily volume is negatively related to the spread while volatility and average volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle market. Results are sensitive to the bid‐ask spread measure, with our modified Bayesian method providing estimates most consistent with expectations and the competitive structure in these markets.