scholarly journals IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?

2021 ◽  
Vol 10 ◽  
pp. 48-57
Author(s):  
S. Thomas Kim ◽  
Svetlana Orlova
Keyword(s):  
Public Interest ◽  
Market Quality ◽  
Safe Haven ◽  
Futures Trading ◽  
Trading Frequency ◽  
Price Reaction ◽  
Bid Ask Spread ◽  
Chicago Mercantile Exchange ◽  
Conditional Beta

This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

Structural changes, bid–ask spread composition and tick size in inter-bank futures trading

2011 ◽  
Vol 17 (4) ◽  
pp. 285-306 ◽  
Author(s):  
Frank McGroarty ◽  
Owain ap Gwilym ◽  
Stephen Thomas
Keyword(s):  
Structural Changes ◽  
Futures Trading ◽  
Tick Size ◽  
Bid Ask Spread

A Comparison of China's Main Board and Growth Enterprise Market Board — Market Microstructure Approach

2014 ◽  
Vol 17 (02) ◽  
pp. 1450007 ◽  
Author(s):  
William Cheung ◽  
Kejing Liu
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Market Quality ◽  
Cost Component ◽  
Bid Ask Spread ◽  
Growth Enterprise Market ◽  
Level Data ◽  
Pricing Error ◽  
Trading Activities

We compare the market quality of the newly established, second board of the China stock market, the Growth Enterprise Market (GEM) with the Main Board, and examine its impact on the Main Board from the market microstructure perspective. Using the newly available transaction level data, several findings emerge. First, trading activities of the Main Board stocks increase after the introduction of GEM Board, suggesting that the establishment of GEM is not at the expense of the Main Board but instead enhance the overall trading activities in China. Pricing error variances are not different in the two Boards, while GEM stocks have larger adverse selection cost component of bid-ask spread and higher probability of information-based trading which indicate a larger information asymmetry among traders, on average in GEM stocks than those in the Main Board. Interestingly, we find that the 15 min returns of Main Board stocks strongly lead that of GEM stocks but the GEM board only weakly leads Main Board, evidencing information transmission from the Main Board to the GEM. Overall, our findings suggest that the market quality of the GEM is sufficiently good to provide an important, alternative listing venue for high potential firms in China.

Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects

2007 ◽  
Vol 42 (4) ◽  
pp. 1041-1062 ◽  
Author(s):  
Bartley R. Danielsen ◽  
Bonnie F. van Ness ◽  
Richard S. Warr
Keyword(s):  
Selection Criterion ◽  
Hazard Model ◽  
Market Quality ◽  
Quality Changes ◽  
Bid Ask Spread ◽  
Event Date ◽  
Option Listing ◽  
Underlying Stocks ◽  
The Impact

AbstractPrior research concludes that option introductions improve the average liquidity of the underlying stocks. We develop an improved, generalizable test to assess whether market quality changes occur on or near an event date. Applying this method to option listing events, we conclude that options do not systematically improve the market quality of the underlying security; rather, the market quality of the underlying security improves before the listing decision. Hazard model tests indicate that improving liquidity is a selection criterion in the option listing decision. Moreover, these tests suggest that the size of a stock's bid-ask spread is the single most important option listing determinant.

scholarly journals Linkage Stock Price, Trading Volume Activity, Stock Returns and Trading Frequency on Bid Ask Spread

2020 ◽  
Vol 1 (1) ◽  
pp. 28
Author(s):  
Alkusani Alkusani ◽  
Anita Handayani ◽  
Yosi Firda Rahmadani
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Independent Variable

The purpose of this study was to to examine the effect of stock prices, trading volume activities, stockreturns and trading frequency of the bid ask spread of LQ45 company. Determination of the studysample consist of 42 companies conducted using purposive sampling method. As for hypothesistesting and research instruments using multiple linear regression analysis SPSS 20.0. Result of thisstudy prove that all of the independent variable does not affect the bid ask spread

Effects of Futures Trading on the Spot Market Bid-Ask Spread

1998 ◽  
Vol 66 (1) ◽  
pp. 87-99 ◽  
Author(s):  
Silvia Gerber ◽  
Peter Simmons
Keyword(s):  
Spot Market ◽  
Futures Trading ◽  
Bid Ask Spread
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