Bid-Ask Spread Correlations

Bid-Ask Spread Correlations

This table contains the correlations of the estimated average spread with price changes, volatility computed as the averaged absolute price changes, and number of trades. The last row is the standard deviation of the spread. The data are from trading on the GLOBEX automated system and the Chicago Mercantile Exchange floor market, for the September 1994 S&P 500, and the Deutschemark (DM contracts over the period 7/1/94 through 9/1/94. Columns marked “open” contain figures for the first hour of the trading session, while columns marked “close” contain analogous numbers for the last hour of the trading session. The indicator “total” contains figures for the full day's trading session in each market.

Panel A: S&P 500 Futures Contract

		Globex				Floor
	open	total	close		open	total	close
p	0.009	0.146	0.111		-0.117	0.057	0.016
volatility	0.187	0.256	0.325		0.309	0.289	0.341
trades	0.135	0.426	0.412		0.849	0.840	0.772
(s)	0.025	0.018	0.019		0.018	0.017	0.017

^a x 10^-3

Panel B: DM Futures Contract

		Globex				Floor
	open	total	close		open	total	close
p	-0.101	0.007	-0.002		0.060	0.043	0.049
volatility	0.202	0.257	0.299		0.398	0.299	0.381
trades/hour	0.103	0.386	0.251		0.779	0.759	0.621
 (s)	0.063a	0.047a	0.064a		0.034a	0.033a	0.033a

^a x 10^-3

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