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英文文献：Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets-买卖价差、成交量和波动性:来自牲畜市场的证据
英文文献作者：Frank, Julieta,Garcia, Philip
英文文献摘要：
Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for the live cattle and hog futures markets using alternative liquidity cost estimators, intraday prices and micro-market information. 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 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 a modified Bayesian method providing estimates most consistent with expectations and the competitive structure found in these markets.
对农业期货市场流动性成本决定因素的理解受到了阻碍，原因是需要使用买卖价差的代理(通常存在偏差)，以及未能考虑共同确定的微观市场结构。我们使用替代性流动性成本估算器、日内价格和微观市场信息来估计活牛和生猪期货市场的流动性成本及其决定因素。成交量和波动率同时确定，并与买卖价差显著相关。日成交量与价差呈负相关，波动率与单交易量呈正相关。电子交易对流动性成本具有显著的竞争效应，尤其是在活牛市场。结果是敏感的买卖价差措施，与改进的贝叶斯方法提供估计最一致的预期和竞争结构发现在这些市场。
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