Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 46 for “"bid-ask spread"”.
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Bid-Ask Spread Modelling in the South African Bond Market
Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both models by comparing the modelled equity spread estimates …
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Three essays on the cost components of the bid-ask spread
… on the adverse selection component of the bid-ask spread. A regime switching model applied to the trading process leads to a parsimonious model of the time-series evolution of the bid-ask spread in which market participants use trade data to answer the following question: Is there currently …
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The components of the bid-ask spread: evidence from the corn futures market
The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
… paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped spread pattern for options confirming the findings of Chan et al. (1995), a reverse U-shaped pattern for option depth, and a reverse S-shaped pattern for the underlying stock spread. In addition, we use …
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The Speed of the Market Response to Earnings Announcements and the Bid-Ask Spread: An Empirical Study
… information contained in the announcement. The bid-ask spread is used as a proxy for the precision of the information contained in the earnings announcement, since Glosten and Milgrom (1985) provides theoretical support for the use of the bid-ask spread as a proxy for precision.
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PhD thesis on liquidity of bond market
… model for the estimation of the effective bid-ask spread that improves the existing models and offers a new direction of generalisation. The quoted bid-ask spread represents the prices available at a given time for transactions only up to some relatively small trade size. Trades can be …
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Applications of Search Theory in Finance
… essay is related to market microstructure, i.e. bid-ask spread, in which a competitive search model is proposed to re-interpret the existence of the market equilibrium bid-ask spread in a stylized security market, in which market dealers are in charge of posting an instantaneous bid price, …
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Do accruals exacerbate information asymmetry in the market?
… affects transactions costs in the form of the bid-ask spread and its adverse selection component. I examine this impact both, in general, for all trading activity occurring for a firm over a continuous flow of information during the year and around the first release of accrual information for …
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Financial distress, dealers' behavior and asset pricing in the foreign exchange market
… for its financial wealth, makes her quote larger bid-ask spreads when uncertainty about the underlying traded asset is high or when market competition is low. I first establish that markets are dominated by a handful of dealers who are responsible for more than 90% of the quotes in the different …
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The Determinants of Liquidity and the Role of the Market-Maker in Commodity Futures Markets
… day and for daily intervals. Since the actual bid-ask spread is not recorded and cannot be used to determine the accuracy of the estimators, various estimates are compared to expectations from past theory and research in determining the most appropriate estimator of liquidity costs.
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Two Essays on Oil Futures Markets
… volume and trade size but also slightly greater bid-ask spread. CME leads the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this …
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Probability of informed trading around scheduled and unscheduled corporate announcements
… announcements. Our results show that PI (and bid/ask spread) is significantly higher in the pre-announcement period compared to that in the post-announcement period. Further, we link the changes in PI to takeover announcement characteristics. We show that PI is significantly higher in the …
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Probability of informed trading around scheduled and unscheduled corporate announcements
… announcements. Our results show that PI (and bid/ask spread) is significantly higher in the pre-announcement period compared to that in the post-announcement period. Further, we link the changes in PI to takeover announcement characteristics. We show that PI is significantly higher in the …
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Three Essays in Empirical Studies on Derivatives
… I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the proportion of the …
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… of TOCOM by analysing the determinants of bid-ask spread components, and examine the asymmetric impact of sell-initiated and negative-return trading volume on bid-ask spread. It is evident that trading volume and volatility are two important determinants of BAS, and sell-initiated …
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The high–low spread estimator is not well–behaved in commodity markets
… series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from …
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Trading in Electronic Markets: The Challenges of Imperfect Liquidity and Reduced Pre-Trade Transparency
… of best quotes and the existence of the bid-ask spread. The distribution of expected time-to-fill of limit orders conforms to the empirically observed distribution of trading times, and its variance decreases with liquidity. Finally, two additional stylised facts are rationalised in this …
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Market reaction to announcements of rights offerings using daily and intraday data
… during the post-event period. The relative bid/ask spread decreases on the event day relative to the pre-event period. No significant permanent changes occur in all trade indicators from the pre- to post-event periods. Trade direction for the stocks does not change significantly between any …
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What insight do market participants gain from dividend increases?
… impact of dividend increases on stock prices and bid-ask spreads. The agency abatement hypothesis argues that increased dividends constrict management's future behavior, abating the agency problem with shareholders. The signaling hypothesis asserts that dividend increases signal that managers …
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Oligopolistic market-making and inventory heterogeneity
… relaxed capital constraints, the width of the bid-ask spread positively correlates with inventory imbalances. A grim-trigger non-Markov equilibrium is analyzed. Collusive-behavior of market makers raises liquidity price but dries up its variation. FE estimation at aggregate and account level …
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