Julieta Frank, Philip Garcia; Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets. Am J Agric Econ ; 93 1: Using literature-based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog futures markets. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and average volume per transaction display positive relationships.

Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle market. Results are sensitive to the bid-ask spread measure, with our modified Bayesian method providing estimates most consistent with expectations and the competitive structure in these markets. Most users should sign in with their email address.

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Close mobile search navigation Article navigation. Bid-Ask Equity bank stock market, Volume, and Volatility: Evidence from Livestock Markets Julieta Frank Julieta Frank.

Julieta Frank is an assistant professor, Agribusiness and Agricultural Economics, University of Manitoba, Winnipeg, Manitoba, Canada. Philip Garcia is a professor and T. Hieronymus Distinguished Chair in Futures Markets, Agricultural and Consumer Economics, University queen victoria building opening hours anzac day Illinois at Urbana-Champaign.

Philip Garcia Philip Garcia. Am J Agric Econ 93 1: Navbar Search Filter All JEL: Q11 - Aggregate Supply and Demand Analysis; Prices All Journals Mobile Microsite Search Term.

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets | Journal of Financial and Quantitative Analysis | Cambridge Core

Q11 - Aggregate Supply and Demand Analysis; Prices All Journals search input. Abstract Using literature-based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog futures markets. Bayesian estimationbid-ask spread determinantscommodity futuresGibbs samplerliquidity cost.

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