bid-ask spread
The Use Of Financial Ratios as Measures Of Risk In The Determination Of The Bid- Ask Spread In Tehran Stock Exchange
... and bid-ask ...and bid- ask ...and bid-ask spread in Tehran Stock ...studied. Bid-Ask spread is also computed as dependent ...in Bid-Ask ...
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Corwin Schultz bid ask spread estimator in the Brazilian stock market
... ’s bid-ask spread estimator reflects the same abnormal return, but on the highest and lowest share prices instead of all trades of a ...Schultz bid-ask spread estimator figures ...
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The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302
... the bid-ask spread, Copeland and Galai (1983) find that greater price volatility, higher asset price level, and lower volume lead to an increase in the bid-ask spread, and these ...
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Pengaruh Volume Perdagangan dan Return terhadap Bid-Ask Spread dengan Model Koreksi Kesalahan
... Jika dua (lebih) variabel ekonomi bersifat stasioner pada derajat yang sama, maka kemungkinan ada kointegrasi (Engle dan Granger (1987) dalam Slamet (2000) meskipun masing-masing runtun menyebar secara luas dan memiliki ...
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New Bid Ask Spread Estimators from Daily High and Low Prices
... effective bid-ask spread and daily high and low ...the spread by 19% on average, while the next best perform- ing model (CS3) has an error of ...
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Foreign exchange market bid ask spread and market power in an underdeveloped economy
... The study utilizes a dataset which comprise of weekly data on the purchase and sale of US dollar (US$) by all the cambios that operated from January 2000 to December 2007. In order to preclude survivorship bias, we did ...
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Do Trading Volume and Bid-Ask Spread Contain Information to Predict Stock Returns? Intraday Evidence from India
... close bid and ask quote for each 5 - minute intervals from 2 July 2012 to 31 December 2012 for all the stocks of S&P CNX Nifty index between trading timing 09:15 am to 15:30 pm ...and ...
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Teaching The Bid-Ask Spread And Triangular Arbitrage For The Foreign Exchange Market
... the bid-ask spread is significantly higher during the high volatility period, quote (tick-by-tick) data with bid and ask prices for GBP vs USD currency pair are needed and they can be ...
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On the trading volume and time effects on the bid ask spread components of NYSE and NASDAQ common stocks
... Economics, Economic Quarterly Journal Influence, of and Bessembinder,H., 1999, Trade Execution Costson NASDAQ and the NYSE: A PostReform Comparison, Joumal of Financial and Quantitative [r] ...
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An Econometric Analysis for the Behavior of the Bid Ask Spread
... In general, all of the models had an adequate criterion for in- formation (based on the statistics from Akaike, Schwarz and Hannan-Quinn). However, the models suffered from an auto- correlation problem, which was solved ...
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Do measurement related fair value disclosures affect information asymmetry?
... the bid-ask spread as a measure of ...lower bid-ask spreads for firms that switch from German to international reporting regimes and thus commit to higher levels of ...
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Theoretical analysis of the bid ask bounce and Related Phenomena
... an ask price and a “sell” order near the bid ...the bid-ask spread would stay al- most constant for quite some time until the next macroeconomic ...a bid price, while sellers ...
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On Local Times: Application to Pricing Using Bid Ask
... the bid-ask spreads are explained by transaction ...dynamic ask price process (respectively, a dynamic bid price ...the bid and the ask processes, ...The bid-ask ...
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Informational and allocative efficiency in financial markets with costly information
... The paper also studies welfare implications of the termination of information acquisition. In the proposed sequential trading model, liquidity traders value the asset differently from the market maker and informed ...
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The implicit costs of trading in a jointly listed Irish equity
... Abstract: The paper invokes the concept of an implicit bid-ask spread in the Irish Stock Market and measures the consequent cost to traders as the expected gap between the price of sell [r] ...
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The Budapest liquidity measure and the price impact function
... In the literature only a few studies analyze the value of the price impact of transactions, that is, the additional costs which are not paid as an explicit cost of trading. One prominent study of the field is prepared by ...
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Microstructure effects, bid ask spreads and volatility in the spot foreign exchange market pre and post EMU
... and bid-ask spreads relates to the non-synchronicity of quoted bid and ask price arrivals, and the closely related time-gap between successive transaction ...of bid-ask spreads, ...
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Determinants and impacts of risk disclosure quality: evidence from China
... Lang and Lundholm (1993) find that performance variability affects disclosure levels negatively, recognising an association between the volatility of market returns and disclosure levels. Furthermore, investors and ...
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Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level
... volatility, bid-ask spread and information asymmetry, and in- creases in quoted depth, trading frequency and transaction ...and bid-ask ...
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The impact of liquidity on the valuation of European real estate securities
... use bid-ask spreads to understand the daily price liquidity and price ...the bid-ask spread is nearly ...high spread for the overall company size which is due to the shareholding ...
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