Pricing Behavior in an Off-Hours Computerized Market
Adverse Selection Components of the Spread
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Adverse Selection Components of the SpreadThis table contains statistics relating to the adverse selection component of bid-ask spreads, expressed as a proportion of the spread. The notations G and F denote GLOBEX trading and CME floor trading, respectively. The row heading “Total” refers to estimated adverse selection components over the entire trading day. “Open” and “Close” denote estimates taken over the hour after trading begins and the hour before trading ends, respectively. “Other” denotes estimates over trading activity between the hour after the open and the hour before the close. Generalized-method-of-moments robust standard errors are reported in parentheses.
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