Determinants Of Bid Ask Spreads In Time Series Analysis
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Determinants of Bid-Ask Spreads in Time-Series Analysis
Author | : Alex Frino |
Publisher | : |
Total Pages | : 17 |
Release | : 2015 |
Genre | : |
ISBN | : |
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This study empirically examines the determinants of bid-ask spreads using a time series approach. Consistent with cross-sectional models in the literature, time-series analysis shows that bid-ask spreads for most ASX300 stocks exhibit a negative relationship with trading activity and a positive relationship with price volatility. Partitioning the stocks based on their market capitalisation, we find bid-ask spreads for smaller sized stocks are more sensitive to changes in trading activity and less sensitive to price volatility vis-a-vis high-valued stocks.
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