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New empirical evidence on the bid-ask spread

Narayan, Paresh Kumar, Mishra, Sagarika and Narayan, Seema 2015, New empirical evidence on the bid-ask spread, Applied economics, vol. 47, no. 42, pp. 4484-4500, doi: 10.1080/00036846.2015.1031870.

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Title New empirical evidence on the bid-ask spread
Author(s) Narayan, Paresh Kumar
Mishra, Sagarika
Narayan, Seema
Journal name Applied economics
Volume number 47
Issue number 42
Start page 4484
End page 4500
Total pages 17
Publisher Routledge
Place of publication Oxford, Eng.
Publication date 2015-09-08
ISSN 0003-6846
1466-4283
Keyword(s) price
spread
volatility
volume
Social Sciences
Economics
Business & Economics
C13
G10
TRADING ACTIVITY
COMMON-STOCKS
CROSS-SECTION
UNIT-ROOT
MARKET
LIQUIDITY
INFORMATION
COMPETITION
COMPONENTS
Summary In this article, we model the determinants of spread for 734 firms listed on the NYSE over the period 1 January 1998 to 31 December 2008. We propose a panel data model of the determinants of spread. There are four main messages emerging from our work. We find a statistically significant effect of volume on spread inconsistent with the work of Johnson (2008). On price, we find mixed results, consistent with the literature. On the effect of price volatility on spread, our results are completely the opposite of the cross-sectional literature but sides with the relatively recent work of Chordia et al. (2001). We allow for persistence of spread as a determinant of spread and find significant evidence of spread persistence across all 16 sectors. Finally, we examine size effects and find statistically strong evidence of size effects based on the relationship between price and spread, persistence and spread, and volatility and spread.
Language eng
DOI 10.1080/00036846.2015.1031870
Field of Research 150202 Financial Econometrics
1402 Applied Economics
1502 Banking, Finance And Investment
1117 Public Health And Health Services
Socio Economic Objective 900199 Financial Services not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30073417

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Tue, 08 Sep 2015, 14:02:08 EST

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