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New empirical evidence on the bid-ask spread
journal contribution
posted on 2015-09-08, 00:00 authored by Paresh Narayan, Sagarika MishraSagarika Mishra, S NarayanIn 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.
History
Journal
Applied economicsVolume
47Issue
42Pagination
4484 - 4500Publisher
RoutledgeLocation
Oxford, Eng.Publisher DOI
ISSN
0003-6846eISSN
1466-4283Language
engPublication classification
C1 Refereed article in a scholarly journal; C Journal articleCopyright notice
2015, Taylor & FrancisUsage metrics
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