The Behavior of Bid‐Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999
研究1999年美国交易所竞争期权上市后，买卖价差显著下降且持续一年，支持跨交易所竞争降低交易成本的观点。
Abstract In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple‐listing status by the end of September. Effective and quoted bid–ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs.