Download or read book On the Estimation of Bid ask Spreads and Their Implications for Stock Volatility and Return Distributions written by Jong-yeon Choi and published by . This book was released on 1987 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Daily Return Volatility Bid Ask Spreads and Information Flow written by Jinliang Li and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the Mixture of Distribution Hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The results show that the positive relationship between volatility and volume is primarily driven by the informed component of trading. Controlling for the information flow, volatility is negatively related to trading volume. Furthermore, bid-ask spreads are positively related to the intensity of information flow.

Download or read book Estimation of the Bid ask Spread and Its Components written by Thomas John George and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Volatility of Bid Ask Spreads written by Benjamin M. Blau and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides evidence that supports the original hypothesis of Chordia, Subrahmanyam, and Ashuman (2001) that greater variability in liquidity should lead to higher expected returns. While prior research has often found a negative relation between the volatility of liquidity and expected stock returns, we find that the volatility of the bid-ask spread is positively related to future returns. The average risk-adjusted return for stocks in the highest spread volatility quintile is around 1.7 percent per month, with returns from High-Low quintiles as high as 2.7 percent per month. Furthermore, the spread volatility premium is robust to a variety of multivariate tests that control for the market risk factor, SMB, HML, momentum, and illiquidity risk. Our findings provide support for the hypothesis that variability in liquidity affects expected returns and is an important component of illiquidity.

Download or read book Fat Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by Wiley. This book was released on 2005-09-15 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

Download or read book Effects of Bid ask Spreads and Price Discreteness on Distributions of Stock Returns written by Ajay R. Dravid and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Effects of Bid ask Spreads and Price Discreteness on Distribution of Stock Returns written by Ajay R. Dravid and published by . This book was released on 1989 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bid Ask Spreads Trading Activity and Trading Hours written by Abhay Abhyankar and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the intra-day pattern of bid-ask spreads, volatility, and volume on the London Stock Exchange. The primary focus of the study is to relate the empirically observed regularities to specific institutional features of the trading system on the Exchange. We also examine the robustness of the results with reference to changes in the trading hours. The data set used consists of quote and transactions data for about 147 stocks and 835 stocks during two quarters of 1990 and 1991. We test for statistical significance of the average inside spread, the volume, and the return volatility during 15-minute intervals using a GMM ( Generalized Method of Moments ) procedure which is robust to both serial correlation and heteroscedasticity. We also indicate graphically the intra-daily patterns in the inside spread, the trading volume, the number of transactions, and the return volatility. Our results suggest that the bid-ask spread is widest outside the Mandatory Quote Period (MQP), i.e. the period during which market-makers are obliged to post firm quotes. The spread narrows slightly over the trading day for highly traded stocks but is almost constant for less liquid stocks. The spread again widens from the end of the MQP till the close of the SEAQ system. We conjecture that the periods prior to and after the MQP provide quot;windowsquot; for price discovery prior to the MQP and for quot;cooling offquot; after the MQP. Trading volume for the entire sample shows a two-humped shape. However, a crude U-shaped pattern is seen for stocks in the highest trading decile based on volume and number of transactions. Volatility, based on the mid-point of the inside spread, also shows a U-shaped pattern. The higher volatility outside the MQP coincides with the greater price uncertainty prevailing during these time periods.

Download or read book Order Flow and the Bid Ask Spread written by Tim Bollerslev and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A probabilistic framework for the analysis of screen-based trading activity in financial markets is presented. Conditional probability functions are derived for the stationary distributions of the best bid and offer in the market, given the order flows and the acceptance rates of bids and offers. These flows are conditioned on observable screen information. A two-step method is developed for the estimation of the conditional probability functions. The estimation allows for the separate identification of the unobservable order and acceptance flows, which in turn may be used to predict the stationary distributions of the bid- ask spreads, transaction prices, and other market statistics. A formal comparison of the predicted and the sample bid-ask spread distribution provides a stringent test of the model. The necessary econometric methods for conducting such a test, taking into account the parameter estimation error uncertainty, is developed. The methodology is applied to the screen-based interbank foreign exchange market, using a newly available dataset that consists of continuously recorded bid and ask quotes on the Deutschemark/U.S. Dollar exchange rate. The model is found to provide a good description of the salient probabilistic features of the market structure, even though the formal prediction based test for the spread distribution, with more than 29,000 out-of-sample quotations, rejects the exact parametric formulation of the order flows.

Download or read book Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid ask Spread written by A. S. Desai and published by . This book was released on 1996 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading Costs and Return Volatility written by Hendrik Bessembinder and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Analysis of the NYSE Listed Stocks Bid ask Spreads with Implications for the Turn of the year and Day of the week Anomalies in Common Stock Returns written by Robert Alan Clark and published by . This book was released on 1989 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Intraday Behaviour of Bid Ask Spreads Trading Volume and Return Volatility written by Syed Mujahid Hussain and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a fresh empirical investigation of key financial market variables and the theories that link them. We employ high frequency 5-minute data that include transaction price, trading volume, and the close bid and ask quote for the period May 5, 2004 through September 29, 2005. We document a number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. We are able to confirm the reverse J-shaped pattern of intraday bid-ask spreads with the exception of a major bump following the intraday auction at 13:05 CET. The aggregate trading volume exhibits L-shaped pattern for the German blue chip index, while German index volatility displays a somewhat reverse J-shaped pattern with two major bumps at 14:30 and 15:30 CET. Our empirical findings show that contemporaneous and lagged trading volume and bid-ask spreads have numerically small but statistically significant effect on return volatility. Our results also indicate asymmetry in the effects of volume on conditional volatility. However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.

Download or read book A Model of the Components of the Bid ask spread written by Alexey Sergeevich Serednyakov and published by . This book was released on 2006 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Determinants of Bid Ask Spreads in Time Series Analysis written by Alex Frino and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study empirically examines the determinants of bid-ask spreads using a time series approach. Consistent with cross-sectional models in the literature, time-series analysis shows that bid-ask spreads for most ASX300 stocks exhibit a negative relationship with trading activity and a positive relationship with price volatility. Partitioning the stocks based on their market capitalisation, we find bid-ask spreads for smaller sized stocks are more sensitive to changes in trading activity and less sensitive to price volatility vis-a-vis high-valued stocks.

Download or read book Estimation of Bid Ask Spread and Its Components in Indian Stock Market Using Trade Prices written by Priyanka Singh and published by . This book was released on 2013 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the absence of order-book data and limited information on quoted bid-ask spreads in the Indian stock market, this paper attempts to analyze the bid-ask spread in Indian market by estimating bid-ask spreads and its components from trade prices. The sample consists of tick-by-tick data for the time period January 2002 through to October 2008 of 160 stocks traded on the National Stock Exchange of India. We estimate implied bid-ask spreads and its components (adverse selection costs; combined inventory and order processing costs) using theoretical models. We find that all the models used in the study produce consistent estimates of bid-ask spreads and its components. In the Indian Stock Market, we find that the adverse selection cost and the combined order-processing and inventory-holding cost each account for approximately 50 percent of the bid-ask spread. We also find that the estimated bid-ask spreads are approximately 80 percent of the quoted bid-ask spreads. In our sample period, we find that the relative bid-ask spreads have decreased over the years.

Download or read book Stock Market Structure Volatility and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: