Chang, Charles; Lin, Emily - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 01, pp. 1450002-1
speculators and of informed trading in Taiwan's futures market using intraday data during the five-day pre-expiration period. We … demonstrate that liquidity, volatility, and informed trading are each significantly positively related to spread magnitude … informed trading continue to widen spreads despite the fact that a naïve arbitrage strategy outperforms the market. …