Ryu, Doojin - In: Journal of Futures Markets 31 (2011) 12, pp. 1142-1169
This study examines the intraday formation process of transaction prices and bid–ask spreads in the KOSPI 200 futures market. By extending the structural model of Madhavan, A., Richardson, M., and Roomans, M. (<link href="#bib14">1997</link>), we develop a unique cross‐market model that can decompose spread components...