Relevant bibliographies by topics / Bid-ask spreads

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Bid-ask spreads'

Author: Grafiati
Published: 4 June 2021
Last updated: 20 February 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Bid-ask spreads.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Bid-ask spreads"

1

Rozhentsova, Elena V., Anastasiia D. Saltykova, and Tatyana М. Devyatkova. "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads." Financial Journal 13, no. 1 (February 2021): 93–106. http://dx.doi.org/10.31107/2075-1990-2021-1-93-106.

Full text
Abstract:
Due to economic instability there has been an increase in demand for unallocated metal accounts offered by Russian commercial banks since April 2020. Although opening unallocated metal accounts gives banks an opportunity to expand the range of their products, diversify income, attract new clients and retain old ones, most Russian banks do not provide such services. For those, it is important to understand the determinants of bid-ask spreads (the difference between the quoted metal bid and ask prices), since the demand for unallocated metal accounts and the bank’s income from this service depend on the bid-ask spread. The purpose of this paper is to investigate the main determinants of quoted bid-ask spreads on unallocated metal accounts in commercial banks. Multiple regression models are applied for the period from October 2017 to May 2020. There are very few articles on the determinants of quoted bid-ask spreads on unallocated metal accounts; for this reason the paper is based on the results of studies of bid-ask spreads in other markets. Based on recent theoretical results, which indicate that bid-ask spreads depend on price volatility, we confirm this hypothesis on unallocated metal accounts. Moreover, we reveal that banks’ assets and the share of state participation influence bid-ask spreads on unallocated metal accounts in commercial banks. It is also proven that bid-ask spreads for unallocated metal accounts in gold are, on average, lower than those for palladium, platinum and silver.
APA, Harvard, Vancouver, ISO, and other styles
2

Earl, Jr., John H. "REIT Liquidity and Bid-Ask Spreads." CFA Digest 27, no. 1 (February 1997): 33–35. http://dx.doi.org/10.2469/dig.v27.n1.12.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Fehle, Frank. "Bid-Ask Spreads and Institutional Ownership." Review of Quantitative Finance and Accounting 22, no. 4 (June 2004): 275–92. http://dx.doi.org/10.1023/b:requ.0000032599.58297.1a.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Blau, Benjamin M., and Ryan J. Whitby. "The Volatility of Bid-Ask Spreads." Financial Management 44, no. 4 (May 7, 2015): 851–74. http://dx.doi.org/10.1111/fima.12092.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Laux, Paul A., and A. J. Senchack. "Bid-ask spreads in financial futures." Journal of Futures Markets 12, no. 6 (December 1992): 621–34. http://dx.doi.org/10.1002/fut.3990120603.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Choi, J. Y., and Kuldeep Shastri. "Bid-ask spreads and volatility estimates." Journal of Banking & Finance 13, no. 2 (May 1989): 207–19. http://dx.doi.org/10.1016/0378-4266(89)90060-5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Meng, Lei, and Owain ap Gwilym. "The Determinants of CDS Bid-Ask Spreads." Journal of Derivatives 16, no. 1 (August 31, 2008): 70–80. http://dx.doi.org/10.3905/jod.2008.710898.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Fortin, Richard D., R. Corwin Grube, and O. Maurice Joy. "Bid-Ask Spreads for OTC NASDAQ Firms." Financial Analysts Journal 46, no. 3 (May 1990): 76–79. http://dx.doi.org/10.2469/faj.v46.n3.76.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Forjan, James M., and Michael S. McCorry. "STOCK DISTRIBUTION ANNOUNCEMENTS AND BID‐ASK SPREADS." Studies in Economics and Finance 18, no. 1 (February 1997): 111–28. http://dx.doi.org/10.1108/eb028738.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Peña, Ignacio, Gonzalo Rubio, and Gregorio Serna. "Smiles, Bid‐ask Spreads and Option Pricing." European Financial Management 7, no. 3 (September 2001): 351–74. http://dx.doi.org/10.1111/1468-036x.00160.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Bid-ask spreads"

1

Potterton, Kevin. "Bid-Ask Spreads in a Heterogeneously Informed Market." Scholarship @ Claremont, 2011. http://scholarship.claremont.edu/cmc_theses/274.

Full text
Abstract:
This paper provides a numerical method for demonstrating that bid-ask spreads increase with information asymmetry or the probability of insider trading. These spreads also decrease throughout the trading day. Average daily spreads are a non-monotone function of information asymmetry. This result brings into question empirical results showing that higher levels of inside information lead to higher expected returns.
APA, Harvard, Vancouver, ISO, and other styles
2

Tishchenko, Sergei Ivanovich. "Liquidity and yield spreads of corporate bonds." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1095521304.

Full text
Abstract:
Thesis (Ph. D.)--Ohio State University, 2004.
Title from first page of PDF file. Document formatted into pages; contains x, 68 p.; also includes graphics. Includes bibliographical references (p. 46-48).
APA, Harvard, Vancouver, ISO, and other styles
3

Harris, Jeffrey Harold. "The cost components of bid-ask spreads : an intraday analysis." The Ohio State University, 1995. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269528012.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Danis, Michelle A. "The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options." Thesis, Virginia Tech, 1997. http://hdl.handle.net/10919/36640.

Full text
Abstract:
The purpose of this thesis was to test the hypothesis that multiple-listing of equity options leads to lower bid-ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads. A model of the determinants of the bid-ask spread was formulated. Separate tests were conducted on 1985 and on 1992 CBOE data. The first test arose from the fact that in 1985, only a certain number of options were multiple-listed, or eligible to be multiple-listed. Spreads for multiple-listed options were conjectured to be below spreads for single-listed options across low levels of volume, and equal to single-listed option spreads at higher levels of volume. The evidence for this was mixed based on several regressions with different functional forms. The second test arose from the fact that in 1992, because of an SEC rule change, all options were eligible to be multiple-listed but still only a few were. Spreads for multiple-listed options were conjectured to be equal to spreads for single-listed options because the single-listed options had the potential to become multiple-listed. Again, the evidence for this was mixed. It appears that the actual and potential competitive effects from multiple-listing had yet to come to fruition as of 1992. Further testing revealed that, on an option-by-option basis, spreads generally rose from 1985 to 1992.
Master of Arts
APA, Harvard, Vancouver, ISO, and other styles
5

Runde, Andrew G. "How Insiders and Informational Events Affect Bid-Ask Spreads: A Simulation-Based Approach." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/841.

Full text
Abstract:
This paper will examine the effects of inside information on bid-ask spreads when the probability of insider trading and the likelihood of an informational event occurring varies using a theoretical, simulation-based approach. The results show that bid-ask spreads narrow as the number of time periods increase, regardless of probability of insider trading or the likelihood of an informational event occurring. For a high, given likelihood of an informational event occurring, the highest average spreads were found for lower probabilities of insider trading as time increased. For a high, given probability of insider trading, the highest average spreads were found for lower likelihoods of an informational event occurring as time increased. The variances increased along with the probability of insider trading as well as with the likelihood of an informational event occurring. The maximum average spread settled near 0.25, typically found for a probability of insider trading of 1 and a likelihood of an information event occurring of 0.5. The results verify previous research done by Glosten and Milgrom (1985), Easley, Hvidkjaer and O’Hara (2002) and Potterton (2011). The results also may reconcile the differences between the findings of Easley, Hvidkjaer and O’Hara (2002) and Potterton (2011).
APA, Harvard, Vancouver, ISO, and other styles
6

Orozco, Marisa. "An Examination of Bid-Ask Spreads: How Do Management Forecasts Affect Information Asymmetry?" Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/945.

Full text
Abstract:
This paper examines the effects of disclosures on information asymmetry by studying bid-ask spreads around independent management forecasts and earnings announcements released with forecasts. The findings suggest the disclosure of independent management forecasts increase information asymmetry in the market rather than resolving it. Regulation FD has reduced the overall level of information asymmetry in the market with respect to both earnings announcements and management forecasts although it has a greater effect on management forecasts, post-forecast spreads. Closer analysis reveals that when “good news” forecasts and separated from “bad news” independent management forecasts, good news management forecasts decrease information asymmetry. Since initial tests demonstrated that management forecasts increase information asymmetry, these findings suggests that the magnitude of the effect of bad news management forecasts is greater than that of good news forecasts.
APA, Harvard, Vancouver, ISO, and other styles
7

Mikheev, Sergej [Verfasser]. "Portfolio optimization in arbitrary dimensions in the presence of small bid-ask spreads / Sergej Mikheev." Kiel : Universitätsbibliothek Kiel, 2018. http://d-nb.info/1155760778/34.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Smith, Michael Jens. "Intra-day bid-ask spreads, trading volume and return volatility : empirical evidence from the London SAQ market." Thesis, University of Reading, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.265986.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Gerber-Helbling, Silvia A. "An analysis of 'Bid-Ask' spreads considering aspects of risk insurance, degree of competition and market liquidity." Thesis, University of York, 1994. http://etheses.whiterose.ac.uk/10945/.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Choi, Fun Sang Daniel. "The efficiency of the London Traded Options Market : the implications of volatility, volume, and bid-ask spreads." Thesis, University of Stirling, 1993. http://hdl.handle.net/1893/23411.

Full text
Abstract:
This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated in the Black-Scholes model. Because the volatility is assumed constant in the Black-Scholes model, the consideration of adapting the GARCH volatility into the model sheds insight on bridging empirical results and theoretical requirements. Second, because the London Traded Options Market is thinly traded the quoted prices may not reflect prices at which trade did or could take place. However, information on call option trading volume may not be available. This study develops and implements an analytical criterion to select the most actively traded call options. The call options selected by this criterion bear the basic characteristics of those frequently traded call options where trading volume is available. Third, this study uses the bid and ask quotations for shares and call options to test the efficiency of the London Traded Options Market. By incorporating the bid-ask spread directly in the establishment of arbitrage portfolios, an accurate assessment of transactions data can be made. The results of incorporating these factors in the test for market efficiency reveal that, despite the identification of mispriced call options, it would not have been possible to exploit the mispricing by setting up arbitrage portfolios. It must therefore be concluded that the London Traded Options Market was trading efficiently over the period of this study.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Bid-ask spreads"

1

Braun, Margret. Bid-Ask-Spreads von Aktienoptionen. Heidelberg: Physica-Verlag HD, 1997. http://dx.doi.org/10.1007/978-3-642-47002-8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Koopman, Siem Jan. Modelling bid-ask spreads in competitive dealership markets. London: London School of Economics, Financial Markets Group, 1999.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
3

Koopman, Siem Jan. Modelling bid-ask spreads in competitive dealership markets. London: London School of Economics, Financial Markets Group, 1999.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

Wei, Shang-Jin. Anticipations of foreign exchange volatility and bid-ask spreads. Cambridge, Mass: National Bureau of Economic Research, 1994.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Cho, Young-Hye. Modeling the impacts of market activity on bid-ask spreads in the option market. Cambridge, MA: National Bureau of Economic Research, 1999.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Becker, Torbjörn. Were bid-ask spreads in the foreign exchange market excessive during the Asian crisis? [Washington, D.C]: International Monetary Fund, Research Dept., and Monetary and Financial Systems Dept., 2005.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

Board, John. The effects of spot transparency on bid-ask spreads and volume of traded share options. Southampton: University of Southampton, 1996.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

Goodhart, C. A. E. The clustering of bid/ask prices and the spread in the foreign exchange market. London: LSE Financial Markets Group, 1990.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

Jong, Frank de. Price effects of trading and components of the bid-ask spread on the Paris Bourse. London: London School of Economics, Financial Markets Group, 1995.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Bae, Kee-Hong. Bid-ask spread and arbitrage profitability: A study of the Hong Kong index futures and optionsmarket. Kowloon, Hong Kong: City University of Hong Kong, Department of Economics and Finance, 1996.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Bid-ask spreads"

1

Verousis, Thanos. "Bid-Ask Spreads, Commissions, and Other Costs." In Market Microstructure in Emerging and Developed Markets, 325–43. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118681145.ch18.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Abouda, Moez, and Alain Chateauneuf. "Symmetrical Monotone Risk Aversion and Positive Bid-Ask Spreads." In Beliefs, Interactions and Preferences in Decision Making, 299–314. Boston, MA: Springer US, 1999. http://dx.doi.org/10.1007/978-1-4757-4592-4_19.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Schmidt, Hartmut, and Peter Iversen. "Automating German Equity Trading: Bid-Ask Spreads on Competing Systems." In Microstructure of World Trading Markets, 73–97. Dordrecht: Springer Netherlands, 1992. http://dx.doi.org/10.1007/978-94-011-2180-4_5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Batchelor, Roy A., Amir H. Alizadeh, and Ilias D. Visvikis. "The Relation between Bid-Ask Spreads and Price Volatility in Forward Markets." In Derivatives and Hedge Funds, 161–84. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137554178_8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Schmidt, Hartmut, Peter Iversen, and Kai Treske. "Market Structure and Bid-Ask Spread." In Contributions to Management Science, 79–96. Heidelberg: Physica-Verlag HD, 1999. http://dx.doi.org/10.1007/978-3-642-58664-4_4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Chen, Yong. "Intermediation and the bid-ask spread." In Economics of Tourism and Hospitality, 323–43. Abingdon, Oxon ; New York, NY : Routledge, 2021.: Routledge, 2021. http://dx.doi.org/10.4324/9781003023241-21.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Lim, Thomas, Vathana Ly Vath, Jean-Michel Sahut, and Simone Scotti. "Bid-Ask Spread Modelling, a Perturbation Approach." In Seminar on Stochastic Analysis, Random Fields and Applications VII, 411–34. Basel: Springer Basel, 2013. http://dx.doi.org/10.1007/978-3-0348-0545-2_21.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Guillaume, Florence, and Wim Schoutens. "Bid-Ask Spread for Exotic Options under Conic Finance." In Innovations in Quantitative Risk Management, 59–74. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-09114-3_4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

de la Fuente-Mella, Hanns, Ricardo Campos-Espinoza, and Gonzalo Farías. "Econometric Modeling of Time Series Bid-Ask (Spread) for a Sample of Chilean Companies." In Advances in Intelligent Systems and Computing, 241–46. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-60372-8_23.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Bindseil, Ulrich, and Alessio Fotia. "Financial Instability." In Introduction to Central Banking, 67–78. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70884-9_5.

Full text
Abstract:
AbstractIn this chapter, the central bank is put aside and we review simple models of financial instability, which will be the basis for the subsequent chapter to explain the role of the central bank as lender of last resort. We first recall that financial instability is mostly triggered by a negative shock on asset prices, and thereby on the solvency of debtors, which in turn worsens access to credit and can set in motion a liquidity crisis with vicious circles. We develop the concepts of solvency “conditional” and “unconditional” on liquidity: a decline in asset prices can lead an unconditionally solvent debtor to become only conditionally solvent, such that sufficient liquidity becomes decisive for preventing its default. We then apply these concepts to the stability of bank funding and introduce the problem of bank runs. We subsequently show why asset liquidity in a dealer market deteriorates during a financial crisis (increased volatility and uncertainty increase the required bid-ask spread); how asymmetric information can lead to a freeze of credit markets in a simple adverse selection model; how declining and more volatile asset prices drive increases of haircut, and how these can force fire sales and defaults of borrowers. We finally discuss the interaction between these various crisis channels.
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Bid-ask spreads"

1

Othman, Abraham, and Tuomas Sandholm. "Profit-charging market makers with bounded loss, vanishing bid/ask spreads, and unlimited market depth." In the 13th ACM Conference. New York, New York, USA: ACM Press, 2012. http://dx.doi.org/10.1145/2229012.2229074.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

"Price Signals and Bid-Ask Spreads in an Illiquid Market: The Case of Residential Property in Ireland, 2006-2011." In 20th Annual European Real Estate Society Conference: ERES Conference 2013. ÖKK-Editions, Vienna, 2013. http://dx.doi.org/10.15396/eres2013_244.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Cunzhi, Tian, and Miao Hongwei. "Chinese stock bid-ask spread estimation and industry analysis." In 2012 IEEE Symposium on Robotics and Applications (ISRA). IEEE, 2012. http://dx.doi.org/10.1109/isra.2012.6219184.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Paukste, Andrius, and Aistis Raudys. "Intraday forex bid/ask spread patterns - Analysis and forecasting." In 2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2013. http://dx.doi.org/10.1109/cifer.2013.6611706.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Kok Tiong, Chua. "Ownership Structure and Bid-Ask Spread: Evidence from Malaysian Market." In ICBSI 2018 - International Conference on Business Sustainability and Innovation. Cognitive-Crcs, 2019. http://dx.doi.org/10.15405/epsbs.2019.08.70.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Panayi, Efstathios, and Gareth Peters. "Survival models for the duration of bid-ask spread deviations." In 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2014. http://dx.doi.org/10.1109/cifer.2014.6924048.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Listyaningsih, Erna. "The Impact of the United State Presidential Election on Jakarta Islamic Index Stocks: Bid-ask Spread Perspective." In 2nd INTERNATIONAL RESEARCH CONFERENCE ON ECONOMICS AND BUSINESS 2018. SCITEPRESS - Science and Technology Publications, 2018. http://dx.doi.org/10.5220/0008784502520256.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Hsu, Pei-Ying, Chin Chou, Szu-Hao Huang, and An-Pin Chen. "A Market Making Quotation Strategy Based on Dual Deep Learning Agents for Option Pricing and Bid-Ask Spread Estimation." In 2018 IEEE International Conference on Agents (ICA). IEEE, 2018. http://dx.doi.org/10.1109/agents.2018.8460084.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Li, Si-ming, Zhang-xi Lin, Zhong-yi Xiao, and Jun-wei Ma. "The use of GARCH-neural network model for forecasting the volatility of bid-ask spread of the Chinese stock market." In 2012 International Conference on Management Science and Engineering (ICMSE). IEEE, 2012. http://dx.doi.org/10.1109/icmse.2012.6414430.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Ulrich, Patrick, and Dennis Anselmann. "Insider trading on the German capital market — Can insiders achieve excess returns through their information advantage?" In Corporate governance: A search for emerging trends in the pandemic times. Virtus Interpress, 2021. http://dx.doi.org/10.22495/cgsetpt17.

Full text
Abstract:
This study investigates whether corporate insiders can generate excess returns on the German capital market due to their information advantage. This is done with the help of an event study based on a market model that estimates the expected returns. Furthermore, the effect size of individual aspects is examined in a multiple regression. It is shown that insiders can achieve short-term excess returns of up to 2.1% after purchases and of up to -2.95% after sales. Moreover, these are strikingly high for, relative to market capitalization, transactions of smaller firms and transactions of other executives. The greatest influence on the excess return of a transaction is the market capitalization of the company in the case of buy transactions, while the excess return of sell transactions is largely determined by the share of trading volume in the outstanding shares. An imitation of insider transactions by outsiders may allow for excess returns, but this strongly depends on the share to be traded due to the bid-ask spread as well as the trading commissions. Despite the existence of regulation, it is evident that insiders can achieve significant excess returns, presumably on the basis of non-public information
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Bid-ask spreads"

1

Wei, Shang-Jin. Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads. Cambridge, MA: National Bureau of Economic Research, May 1994. http://dx.doi.org/10.3386/w4737.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Cho, Young-Hye, and Robert Engle. Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market. Cambridge, MA: National Bureau of Economic Research, September 1999. http://dx.doi.org/10.3386/w7331.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, September 2021. http://dx.doi.org/10.32468/be.1171.

Full text
Abstract:
We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.
APA, Harvard, Vancouver, ISO, and other styles
4

Chen, Xiaohong, Oliver Linton, Stefan Schneeberger, and Yanping Yi. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. The Institute for Fiscal Studies, March 2016. http://dx.doi.org/10.1920/wp.cem.2016.1216.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Informe especial de estabilidad financiera: liquidez de mercado - Segundo semestre de 2020. Banco de la República de Colombia, December 2020. http://dx.doi.org/10.32468/incl-fin.sem2-2020.

Full text
Abstract:
El análisis de las condiciones de liquidez de los mercados financieros permite entender las dinámicas que los agentes presentan en el sistema de pagos y cómo choques externos las pueden haber afectado. Por esta razón, en el presente Informe se analizan aspectos de la liquidez de mercado del sistema financiero colombiano concernientes al mercado de títulos de deuda pública (TES) y al mercado monetario. En la primera sección se evalúa la liquidez de los TES (los cuales representan el segundo activo más importante de los establecimientos de crédito después de la cartera) a través del análisis de medidas como el bid-ask spread (bas) y la profundidad del mercado. En la segunda sección se presenta una caracterización del mercado monetario colombiano a partir de un análisis de redes, con el fin de identificar su estructura, analizar su dinámica reciente y estudiar las relaciones entre los agentes durante el último semestre.
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Bid-ask spreads' for particular source types:
Journal articles Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography