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Journal articles on the topic 'Bid-ask spreads'

Author: Grafiati

Published: 4 June 2021

Last updated: 20 February 2023

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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11

Bryant, Henry L., and Michael S. Haigh *. "Bid–ask spreads in commodity futures markets." Applied Financial Economics 14, no. 13 (September 2004): 923–36. http://dx.doi.org/10.1080/0960310042000284669.

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12

Rola, Przemysław. "Arbitrage in markets with bid-ask spreads." Annals of Finance 11, no. 3-4 (August 18, 2015): 453–75. http://dx.doi.org/10.1007/s10436-015-0266-0.

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13

Berchtold, Fredrik, and Lars Nordén. "Information flows and option bid/ask spreads." Journal of Futures Markets 25, no. 12 (2005): 1147–72. http://dx.doi.org/10.1002/fut.20186.

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14

Saleemi, J. "An estimation of cost-based market liquidity from daily high, low and close prices." Finance, Markets and Valuation 6, no. 2 (2020): 1–11. http://dx.doi.org/10.46503/vutl1758.

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In the literature of asset pricing, this paper introduces a new method to estimate the cost-based market liquidity (CBML), that is, the bid-ask spread. The proposed model of spread proxy positively correlates with the examined low-frequency spread proxies for a larger dataset. The introduced approach provides potential implications in important aspects. Unlike in the Roll bid-ask spread model and the CHL bid-ask estimator, the CBML model consistently estimates market liquidity and trading cost for the entire dataset. Additionally, the CBML estimator steadily measures positive spreads, unlike in the CS bid-ask spread model. The construction of the proposed approach is not computationally intensive and can be considered for distinct studies at both market and firm levels.

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15

Winoto, Rulyanto. "PENGARUH TATA KELOLA PERUSAHAAN, KUALITAS AUDITOR DAN EARNING PER SHARE TERHADAP BID-ASK SPREAD." Jurnal Akuntansi Bisnis 15, no. 2 (August 27, 2019): 216. http://dx.doi.org/10.24167/jab.v16i1.1363.

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Abstract This study investigates the affect of audit committee size, board independence, auditor quality, and earnings per share on bid-ask spread. Population and sample in this study are all companies listed on the Indonesian Stock Exchange (BEI) from 2010 until 2014. The sampling technique in this research is using purposive sampling method. Data analysis tool used is the classic assumption test, test validity, reliability and hypothesis testing with multiple regression. Based on the analysis and discussion can be deduced as follows size of audit committee significant negative effect on the bid-ask spread, the independence of the board of commissioners significant positive effect on the bid-ask spread, quality auditor significant positive effect on bid-ask spreads and earnings per share ( EPS) significant negative effect on the bid-ask spread. Abstrak Penelitian ini bertujuan untuk apakah variabel ukuran komite audit, independensi dewan komisaris, kualitas auditor, dan earning per share (EPS) berpengaruh terhadap bid-ask spread. Populasi dan sampel pada penelitian ini adalah semua perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) dari tahun 2010 sampai tahun 2014. Teknik pengambilan sampel dalam penelitian ini adalah menggunakan metode purposive sampling. Alat analisis data yang digunakan adalah uji asumsi klasik, uji validitas, reliabilitas dan uji hipotesis dengan regresi berganda. Berdasarkan pada hasil analisis dan pembahasan dapat ditarik kesimpulan sebagai berikut ukuran komite audit berpengaruh negatif signifikan terhadap bid-ask spread, independensi dewan komisaris berpengaruh positif signifikan terhadap bid-ask spread, kualitas auditor berpengaruh positif signifikan terhadap bid-ask spread dan earnings per share (EPS) berpengaruh negatif signifikan terhadap bid-ask spread

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16

Dewi, Adistie Nucke Arista, and Indri Kartika. "FAKTOR-FAKTOR YANG MEMPENGARUHI BID-ASK SPREAD PADA PERUSAHAAN MANUFAKTUR." Jurnal Akuntansi Indonesia 4, no. 2 (November 14, 2016): 85. http://dx.doi.org/10.30659/jai.4.2.85-96.

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The amount of information asymmetry faced by dealers will be reflected in the spread. Dealers will try to maintain the bid-ask spreads are optimal, so the need to determine the factors that affect the bid- ask spread . This study aimed to analyze the effect of stock returns, trading volume, variants of stock returns and stock prices to bid-ask spread stock . The population in this study are manufacturing companies that publish financial statements in the period 2010-2012 . The samples with purposive sampling, to obtain the 61 companies . From the data obtained were processed and analyzed using SPSS 19 o’clock, by means of multiple linear regression analysis. Multiple linear regression analysis was preceded with the classical assumption. The results showed that the first, the stock return significant negative effect on the bid- ask spread stock. Second, the volume of stock trading is not a significant positive effect on the bid- ask spread stock . Third, the stock price significant negative effect on the bid- ask spread stock. Fourth, variant stock returns are not significant positive effect terdahap stock bid-ask spread. Future studies could add other variables that stock price fluctuations (volatility) in the given period. Predicted volatility can affect the bid- ask spread stocks as investors memilliki enough information about the investment that not only perform certain transactions on the stock .

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17

AFFUL, KOFI B. "AN EXPLANATION OF NON-EQUILIBRIUM CURRENCY BID-ASK SPREADS." International Journal of Theoretical and Applied Finance 07, no. 05 (August 2004): 531–40. http://dx.doi.org/10.1142/s0219024904002542.

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This paper proposes a theoretical model which is used to illustrate that transactions costs and a risk premium are not sufficient to explain the excess currency bid-ask spread. It illustrates that only in market structures that engender market power can foreign exchange dealers widen their currency bid-ask spread to exploit adverse economic forces and also exploit a relatively price inelastic demand for foreign exchange to charge higher-than-market-determined risk premiums thus charging an excess currency bid-ask spread.

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18

Fatikhah, Sabna Ainazah, and Siti Puryandani. "FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45." ECONBANK: Journal of Economics and Banking 2, no. 1 (April 29, 2020): 43–54. http://dx.doi.org/10.35829/econbank.v2i1.78.

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Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of company size, stock prices, stock price volatility and trading volume on the bid-ask spread of companies listed in the LQ45 index in the period 2015 to 2018. A total of 14 companies were taken as a purposive sampling sample in order to obtain 56 observational data. The analytical method used in this study is the method of multiple linear regression analysis. The results showed that stock prices and stock price volatility affect the bid-ask spread. While company size and trading volume do not affect bid-ask spread. Investors can consider the size of the company, stock prices, stock price volatility, and trading volume to avoid high spreads and get profit in the future.

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19

Atkins, Allen B., and Edward A. Dyl. "Price Reversals, Bid-Ask Spreads, and Market Efficiency." Journal of Financial and Quantitative Analysis 25, no. 4 (December 1990): 535. http://dx.doi.org/10.2307/2331015.

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20

Huang, Roger D., and Hans R. Stoll. "Tick Size, Bid-Ask Spreads, and Market Structure." Journal of Financial and Quantitative Analysis 36, no. 4 (December 2001): 503. http://dx.doi.org/10.2307/2676222.

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21

Mann, Steven V., and Robert W. Seijas. "Bid-ask spreads, NYSE specialists, and NASD dealers." Journal of Portfolio Management 18, no. 1 (October 31, 1991): 54–58. http://dx.doi.org/10.3905/jpm.1991.409381.

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22

Flåm, Sjur Didrik. "Generalized gradients, bid–ask spreads, and market equilibrium." Optimization 68, no. 2-3 (March 4, 2019): 579–92. http://dx.doi.org/10.1080/02331934.2019.1583752.

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23

Castañeda-Leyva, Netzahualcóyotl, and Daniel Hernández-Hernández. "Utility maximization in markets with bid–ask spreads." Stochastics 83, no. 1 (January 31, 2011): 17–43. http://dx.doi.org/10.1080/17442508.2010.521558.

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24

Gerhold, Stefan, and Ismail Cetin Gülüm. "Consistency of option prices under bid–ask spreads." Mathematical Finance 30, no. 2 (April 2020): 377–402. http://dx.doi.org/10.1111/mafi.12230.

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25

Gehrig, Thomas, and Matthew Jackson. "Bid–ask spreads with indirect competition among specialists." Journal of Financial Markets 1, no. 1 (April 1998): 89–119. http://dx.doi.org/10.1016/s1386-4181(97)00005-0.

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26

Ahn, Hee-Joon, Charles Cao, and Hyuk Choe. "Share repurchase tender offers and bid–ask spreads." Journal of Banking & Finance 25, no. 3 (March 2001): 445–78. http://dx.doi.org/10.1016/s0378-4266(00)00084-4.

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27

Zhao, Yan, Lee-Young Cheng, Chong-Chuo Chang, and Cih-Ying Ni. "Short sales, margin purchases and bid–ask spreads." Pacific-Basin Finance Journal 24 (September 2013): 199–220. http://dx.doi.org/10.1016/j.pacfin.2013.05.001.

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28

Krishnamurti, Chandrasekhar, and Tiong Yang Thong. "Lockup expiration, insider selling and bid–ask spreads." International Review of Economics & Finance 17, no. 2 (January 2008): 230–44. http://dx.doi.org/10.1016/j.iref.2007.06.005.

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29

Ghozali, Imam, Sugeng Wahyudi, Hersugondo Hersugondo, Anton Satria Prabuwono, and Imang Dapit Pamungkas. "Bid-Ask Spread on Earnings Management with Good Corporate Governance as Moderation Variables: Banking Sector in Indonesia." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 19 (January 18, 2022): 386–95. http://dx.doi.org/10.37394/23207.2022.19.34.

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This study aims to determine the effect of the bid-ask spread on earnings management and good corporate governance (GCG) as moderating variables. The research method used is a quantitatively descriptive research method that aims to examine the effect of bid-ask spread on the earning management moderated by GCG. The population in this study are banking companies listed on the Indonesia Stock Exchange (IDX). In this study, found that the sample was obtained using purposive sampling. So, the model in this study with 102 total samples. The analysis tool used is Warp-PLS 6.0. This study shows that the bid-ask spread significantly influences on earnings management of banking companies on the IDX in the years 2014-2020. GCG cannot the effects of bid-ask spreads on the earnings management of banking companies on the IDX in the years 2014-2020.

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30

Han, Yufeng, Ting Hu, and David A. Lesmond. "Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World." Journal of Financial and Quantitative Analysis 50, no. 6 (December 2015): 1269–92. http://dx.doi.org/10.1017/s0022109015000605.

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AbstractThis paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid–ask bounce in trade prices. We show that no significant relation exists between mean returns and idiosyncratic volatility estimated from quote-midpoint returns. Further, there is no significant relation between mean returns and the portion of transaction-price-based idiosyncratic volatility that is orthogonal to bid–ask spreads. The pricing of idiosyncratic volatility is due to the negative pricing of the bid–ask spread.

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31

Tung, Samuel. "The Effect of Information Asymmetry on Bid-Ask Spreads Around Earnings Announcements by NASDAQ Firms." Review of Pacific Basin Financial Markets and Policies 03, no. 03 (September 2000): 331–46. http://dx.doi.org/10.1142/s0219091500000157.

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This paper empirically tests Kim and Verrecchia's (1994, hereafter KV) theory that bid-ask spreads may increase around earnings announcements when information asymmetry increases between the informed traders and the less informed market-makers. Despite certain limitations, prior research has used analysts' earnings forecasts as a proxy for information asymmetry. I substitute the percentage of common stocks held by institutional investors as a more precise proxy for information asymmetry. Consistent with KV's proposition, I find (1) that bid-ask spreads increase at the time of earnings announcements, and (2) that bid-ask reactions to earnings announcements are significantly positively related to information asymmetry even after controlling for the effects of other cross-sectional determinants of spreads.

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32

Badenhorst, Wessel Marthinus. "Fair value measurements of exchange-traded funds." Meditari Accountancy Research 23, no. 3 (October 5, 2015): 331–47. http://dx.doi.org/10.1108/medar-06-2014-0045.

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Purpose – This paper aims to investigate the extent to which different prices within the bid-ask spread are used for fair value measurements and evaluate the potential consequences thereof. Design/methodology/approach – The paper investigates different Level 1 fair value measurements of exchange-traded funds’ (ETFs) equity investments. Using descriptive methods, it compares actual and stated fair value measurement policies. In addition, comparative value relevance of these measurements is investigated in regression analysis. Findings – Most fair value measurements are based on closing prices, but stated accounting policies and actual measurements frequently differ. Results also show that the bid-close spread of underlying investments is value-relevant in determining the bid-close spreads of ETFs themselves. Research limitations/implications – Findings are specific to unleveraged ETFs, the sample country and sample period used and only apply to investments in listed equities. Conclusions from this study may assist in predicting market perceptions of the risk of listed equity portfolios. Practical implications – This paper sheds light on the practical impact of the recent change in fair value measurement guidance. Originality/value – This study provides evidence on the size of the bid-ask spread of actual investment portfolios and its potential impact. It shows that bid-close spreads of underlying investments are used to price the bid-close spreads of ETFs themselves and that stated and actual accounting policies often differ. Findings imply that standard-setters might be influenced by actual accounting practices.

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33

Wei, Shang-Jin. "Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads." International Finance Discussion Paper 1991, no. 409 (1991): 1–47. http://dx.doi.org/10.17016/ifdp.1991.409.

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34

Hagerty, Kathleen. "Equilibrium Bid-Ask Spreads in Markets with Multiple Assets." Review of Economic Studies 58, no. 2 (April 1991): 237. http://dx.doi.org/10.2307/2297966.

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35

Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. "Co-Movements in Bid-Ask Spreads and Market Depth." Financial Analysts Journal 56, no. 5 (September 2000): 23–27. http://dx.doi.org/10.2469/faj.v56.n5.2386.

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36

CONROY, ROBERT M., ROBERT S. HARRIS, and BRUCE A. BENET. "The Effects of Stock Splits on Bid-Ask Spreads." Journal of Finance 45, no. 4 (September 1990): 1285–95. http://dx.doi.org/10.1111/j.1540-6261.1990.tb02437.x.

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37

Booth, G. G., P. Iversen, S. K. Sarkar, H. Schmidt, and A. Young. "Market structure and bid-ask spreads: IBIS vs Nasdaq." European Journal of Finance 5, no. 1 (March 1999): 51–71. http://dx.doi.org/10.1080/135184799337181.

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38

Bondarenko, Oleg. "Competing market makers, liquidity provision, and bid–ask spreads." Journal of Financial Markets 4, no. 3 (June 2001): 269–308. http://dx.doi.org/10.1016/s1386-4181(01)00014-3.

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39

Jouini, Elyès. "Price functionals with bid–ask spreads: an axiomatic approach." Journal of Mathematical Economics 34, no. 4 (December 2000): 547–58. http://dx.doi.org/10.1016/s0304-4068(99)00023-3.

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40

Keim, Donald B. "Trading patterns, bid-ask spreads, and estimated security returns." Journal of Financial Economics 25, no. 1 (November 1989): 75–97. http://dx.doi.org/10.1016/0304-405x(89)90097-4.

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41

Bessembinder, Hendrik. "Bid-ask spreads in the interbank foreign exchange markets." Journal of Financial Economics 35, no. 3 (June 1994): 317–48. http://dx.doi.org/10.1016/0304-405x(94)90036-1.

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42

Gwilym, Owain Ap, and Stephen H. Thomas. "The Influence of Electronic Trading on Bid-Ask Spreads." Journal of Fixed Income 8, no. 1 (June 30, 1998): 7–19. http://dx.doi.org/10.3905/jfi.1998.408234.

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43

Gwilym, Owain AP, Lourdes Trevino, and Stephen H. Thomas. "Bid-Ask Spreads and the Liquidity of International Bonds." Journal of Fixed Income 12, no. 2 (September 30, 2002): 82–91. http://dx.doi.org/10.3905/jfi.2002.319327.

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44

de Boyrie, Maria E., Yong O. Kim, and Simon J. Pak. "Price risk and bid-ask spreads of current options." Derivatives Use, Trading & Regulation 12, no. 1 (May 1, 2006): 115–25. http://dx.doi.org/10.1057/palgrave.dutr.1840045.

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45

Bartram, Söhnke M., Frank Fehle, and David G. Shrider. "Does adverse selection affect bid–ask spreads for options?" Journal of Futures Markets 28, no. 5 (2008): 417–37. http://dx.doi.org/10.1002/fut.20316.

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46

Voetmann, Torben. "The Bid-Ask Spread in the Danish Stock Market: Evidence from the 1990s." International Journal of Economics and Finance 8, no. 9 (August 24, 2016): 127. http://dx.doi.org/10.5539/ijef.v8n9p127.

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This paper investigates the cost components of bid-ask spreads around earnings announcements on the small Danish stock market in the 1990s. The results indicate that negative earnings surprises convey pricing information, suggesting the existence of significant information asymmetry between market makers and informed traders. Negative earnings surprises resulted in an increase in adverse-selection cost and trading volume while inventory-holding and order-processing costs decreased, leading to a combined decrease in the realized spread. The change in the realized spread is significant, while the change in the quoted bid-ask spread is negligible. Overall, the results suggest that informed traders’ ability to assess firms’ performance in the Danish stock market affects the bid-ask spread around announcements of earnings. The observed changes in cost components on the small Danish stock market are similar to those observed in larger and more active capital markets.

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47

Febrianti, Noerita. "Analisis Perbedaan Bid Ask Spread dan Volatilitas Saham Sebelum dan Sesudah Pengumuman Stock Split." BISMA (Bisnis dan Manajemen) 7, no. 1 (May 22, 2018): 17. http://dx.doi.org/10.26740/bisma.v7n1.p17-25.

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This study aimed to analyze the differences of bid ask spread and stock volatility before and after the announcement of stock split on companies listed in Indonesia Stock Exchange 2010-2013 period. The samples are 30 companies chosen by purposive sampling method. This study used event period 5 days before and 5 days after stock split with descriptive statistical analysis techniques, the normality test (one sample kolmogorov smirnov test), and hypothesis testing (wilcoxon signed ranks test). The results of the descriptive statistics indicate that the bid ask spread after announcement of stock split has decreased while increasing stock volatility than before announcement. However, the results of hypothesis testing with the wilcoxon signed ranks test showed that both the bid ask spreads and stock volatility is not significant difference between before and after announcement of stock split.

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48

Antweiler, Werner. "Liquidity Provision and Cross Arbitrage in Continuous Double-Auction Prediction Markets." Journal of Prediction Markets 7, no. 3 (January 16, 2014): 61–86. http://dx.doi.org/10.5750/jpm.v7i3.824.

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Continuous double-auction prediction markets often exhibit low transaction volume due to substantial bid-ask spreads. This paper explores a novel method of providing artificial liquidity in continuous double-auction prediction markets by introducing an automated market maker that engages in zero-profit cross-arbitrage in multi-contract markets. Empirical analysis of observed bid-ask spreads, liquidity, offer acceptance, and order sizes in the 2008 UBC Election Stock Market provides additional new insights into the micro-structure of prediction markets.

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49

Zaremba, Adam. "QUALITY INVESTING IN CEE EMERGING MARKETS." Business, Management and Education 12, no. 2 (December 23, 2014): 159–80. http://dx.doi.org/10.3846/bme.2014.241.

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Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread.

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50

Parameswaran, Sunil K., and Sankarshan Basu. "Some Analytical Results for Models of the Bid-Ask Spread." Business and Management Research 9, no. 3 (August 24, 2020): 34. http://dx.doi.org/10.5430/bmr.v9n3p34.

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The focus of this paper is on order processing models of the bid-ask spread, also termed as fixed-cost models. While other theories have been advanced to explain spreads, such as inventory holding costs and adverse selection, research indicates that the fixed cost component constitutes the bulk of the observed spread. This paper starts with the Roll model and the subsequent extension of Choi, Salandro and Shastri. It takes cognizance of the implications of such models for the observed stock prices and the mid-points of bid-ask quotes, to set up tests using the Generalized Method of Moments (GMM) technique. The paper develops an analytical variance-covariance matrix for the fixed cost model with instantaneous adjustment of prices to new information.

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