{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/90838"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/90838","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"The components of the bid-ask spread: evidence from the corn futures market","abstract":"The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.","abstract_html":"The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.","abstract_has_math":false,"creators":["Shang, Quanbiao"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Mallory, Mindy"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2016,"date_issued":"2016-07-07T20:35:20Z","date_published":"2016-07-07T20:35:20Z","updated_at":"2026-07-22T22:26:34Z","subjects":["Bid-ask spread components","market microstructure"],"languages":["en"],"rights":["Copyright 2016 Quanbiao Shang"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/90838","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Mallory, Mindy"]},{"key":"dc:creator","label":"Author","values":["Shang, Quanbiao"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2016-07-07T20:35:20Z","2018-07-08T09:15:16Z","2016-04-27","2016-05"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Bid-ask spread components","market microstructure"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2016 Quanbiao Shang"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/90838"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.","The student, Quanbiao Shang, submitted this Thesis for approval on 2016-04-26 at 13:00.","This Thesis was approved for publication on 2016-04-27 at 14:59.","DSpace SAF Submission Ingestion Package generated from Vireo submission #9510 on 2016-07-07 at 13:50:59","Made available in DSpace on 2016-07-07T20:35:20Z (GMT). No. of bitstreams: 2 SHANG-THESIS-2016.pdf: 1114598 bytes, checksum: a114b0d7e83bc8a7d4ee1d80bc04c973 (MD5) LICENSE.txt: 4211 bytes, checksum: 4a7ecd51d2728ec50c7a270a757fb76c (MD5) Previous issue date: 2016-04-27","Embargo set by: Seth Robbins for item 93191 Lift date: 2018-07-07T20:35:34Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Using the Best Bid Offer data from the CME, this thesis decomposes the Bid-Ask Spread (BAS) in the Chicago Board of Trade (CBOT) corn futures market into its three components, which are adverse selection, inventory, and order processing costs. Approximately 34.8% of the BAS is attributable to the order processing cost, and the order processing cost is relatively stable across different months, days, or trading hours. Liquidity providers' inventory cost is the highest cost component at 53.1%. And the adverse selection cost is 12.1%, which is the smallest BAS component. However, the adverse selection component can be higher when corn prices are more volatile in 2008 and 2011 than other less volatile years of 2009 and 2010. In general, the monthly pattern of the adverse selection cost seems to be different from year to year; the intraday pattern of the adverse selection cost appears to be U-shaped. In contrast, the inventory cost pattern is a strong inverted U-shape. The intraday order processing cost is relatively stable throughout each trading day. The market conditions are relatively different between USDA announcement and no-announcement days, especially during market opening and closing hours. In the first trading hour on USDA announcement days, the adverse selection cost is higher but the inventory cost is lower than on no-announcement trading days. Overall, this thesis shows that the BAS in the CBOT electronically traded corn futures market is relatively low and stable, but the magnitude of each BAS component varies.","Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2018-05-01","U of I Only Restriction Lifted for Item 93191 on 2018-07-08T09:15:16Z."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["The components of the bid-ask spread: evidence from the corn futures market"]}]}],"canonical_facts":{"dc:contributor":["Mallory, Mindy"],"dc:creator":["Shang, Quanbiao"],"dc:date":["2016-07-07T20:35:20Z","2018-07-08T09:15:16Z","2016-04-27","2016-05"],"dc:description":["The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.","The student, Quanbiao Shang, submitted this Thesis for approval on 2016-04-26 at 13:00.","This Thesis was approved for publication on 2016-04-27 at 14:59.","DSpace SAF Submission Ingestion Package generated from Vireo submission #9510 on 2016-07-07 at 13:50:59","Made available in DSpace on 2016-07-07T20:35:20Z (GMT). No. of bitstreams: 2 SHANG-THESIS-2016.pdf: 1114598 bytes, checksum: a114b0d7e83bc8a7d4ee1d80bc04c973 (MD5) LICENSE.txt: 4211 bytes, checksum: 4a7ecd51d2728ec50c7a270a757fb76c (MD5) Previous issue date: 2016-04-27","Embargo set by: Seth Robbins for item 93191 Lift date: 2018-07-07T20:35:34Z Reason: Author requested U of Illinois access only (OA after 2yrs) in Vireo ETD system","Using the Best Bid Offer data from the CME, this thesis decomposes the Bid-Ask Spread (BAS) in the Chicago Board of Trade (CBOT) corn futures market into its three components, which are adverse selection, inventory, and order processing costs. Approximately 34.8% of the BAS is attributable to the order processing cost, and the order processing cost is relatively stable across different months, days, or trading hours. Liquidity providers' inventory cost is the highest cost component at 53.1%. And the adverse selection cost is 12.1%, which is the smallest BAS component. However, the adverse selection component can be higher when corn prices are more volatile in 2008 and 2011 than other less volatile years of 2009 and 2010. In general, the monthly pattern of the adverse selection cost seems to be different from year to year; the intraday pattern of the adverse selection cost appears to be U-shaped. In contrast, the inventory cost pattern is a strong inverted U-shape. The intraday order processing cost is relatively stable throughout each trading day. The market conditions are relatively different between USDA announcement and no-announcement days, especially during market opening and closing hours. In the first trading hour on USDA announcement days, the adverse selection cost is higher but the inventory cost is lower than on no-announcement trading days. Overall, this thesis shows that the BAS in the CBOT electronically traded corn futures market is relatively low and stable, but the magnitude of each BAS component varies.","Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2018-05-01","U of I Only Restriction Lifted for Item 93191 on 2018-07-08T09:15:16Z."],"dc:format":["application/pdf"],"dc:identifier":["http://hdl.handle.net/2142/90838"],"dc:language":["en"],"dc:rights":["Copyright 2016 Quanbiao Shang"],"dc:subject":["Bid-ask spread components","market microstructure"],"dc:title":["The components of the bid-ask spread: evidence from the corn futures market"],"dc:type":["text"],"thesis:degree_discipline":["Agricultural & Applied Econ"],"thesis:degree_level":["Thesis"],"thesis:degree_name":["M.S."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:26:34Z"}