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The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options

Kalok Chan; Y. Peter Chung; Herb Johnson

Journal of Financial and Quantitative Analysis 1995 30(3), 329

Kalok Chan, Y. Peter Chung, Herb Johnson, The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 3 (Sep., 1995), pp. 329-346

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The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options