bid-ask spreads
Microstructure effects, bid ask spreads and volatility in the spot foreign exchange market pre and post EMU
... EUR/USD bid- ask spread widened at the same ...in bid-ask spreads, ...setting bid-ask ...wider bid-ask spreads since EMU, are both due to a decrease ...
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Model uncertainty in panel vector autoregressive models
... The issues of financial contagion and cross-country spillovers between sovereign debt markets in euro area economies have figured prominently in debates about the euro area debt crisis. A few examples of recent papers ...
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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 ...
15
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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Empirical study on the existence of Tuned Risk Aversion in option pricing
... From classical derivative valuation towards a two price framework Traditional valuation models are built on the fundamental theories of asset pric- ing in which the pricing of financial products is based on the law of ...
53
Corwin Schultz bid ask spread estimator in the Brazilian stock market
... a bid-ask spread estimator from daily high and low prices to measure the bid-ask spread of shares, using an easy calculation ...its bid-ask ...to bid-ask ...
36
The Use Of Financial Ratios as Measures Of Risk In The Determination Of The Bid- Ask Spread In Tehran Stock Exchange
... the bid-ask spread were computed for each ...the bid-ask spread as the dependent variable, and price per share, number of trading occurred in each day, Percentage of the days that even have ...
15
Do Trading Volume and Bid-Ask Spread Contain Information to Predict Stock Returns? Intraday Evidence from India
... McGroarty, F., O. Gwilym and S. Thomas, 2009. The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market. Journal of International Financial ...
16
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 ...
11
'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?
... This paper develops and simulates a model of a Bayesian market maker who transacts with noise and position traders in derivative markets. The impact of noise trading is examined relative to price determination in FX ...
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New Bid Ask Spread Estimators from Daily High and Low Prices
... consideration; this is because the spread (signal) is more difficult to estimate when it is considerably smaller than the mid-price volatility levels (noise). Assets with higher levels of liquidity demonstrate typically ...
67
Corporate governance, risk disclosure and cost of equity capital in the Malaysian public listed firms
... Furthermore, decreasing capital costs results in less asymmetry of information in the market, thus reducing potential investors’ transaction costs, bid-ask spreads, and stock p[r] ...
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Nurazi
... In line with information in Table 5 and 6, it is obviously known that price is negatively and significantly contributes to bid-ask spread. According to the Tables, the coefficient of Price shows a negative ...
16
Price Performance and Liquidity Effects of Index Additions and Deletions: Evidence from Chinese Equity Markets
... For stock deletions, the percentage changes in percentage bid–ask spread is not significant prior to or after the event. On the other hand, the percentage change in the volume of trade continuously ...
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Parallel Binomial American Option Pricing under Proportional Transaction Costs
... The parallel algorithm that we present in this paper computes the ask and bid prices on recombining bino- mial trees, and was implemented in C/C++ via POSIX Threads. The implementation was tested on a ...
16
Measuring Black Swans in Financial Markets
... The bid price is de- fined as the highest current price at which a trader is willing to ...The ask price is defined as the lowest current price at which a trader is willing to ...as bid transactions ...
13
Determinants and impacts of risk disclosure quality: evidence from China
... Under the requirement of the Chinese GAAP (PRC GAAP), audited annual reports from listed firms in China must be made available to public users by 30 April, four months after the end of the fiscal year. Consistent with ...
27
Increasing returns in futures markets
... In any case, for the Bank Bills (near future) and US dollar contracts there is clear support for the view that the ask-bid spread varies negatively with volume, and hence for the hypo[r] ...
30
Essays on exchange rates : a dissertation submitted in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, School of Economics and Finance, Massey University
... the bid–ask spread, have no explanatory power for the co-movements after the absolute order flow differential is accounted for, thereby confirming the robustness of order flow as the driving force for ...
10
IFRS Adoption and Information Quality: Evidence from Emerging Market
... average bid-ask spread over 12 month period where bid-ask spread is defined as (bid-ask)/{(bid-ask)/2}, bid is the daily closing bid price, and ...
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