Sawkut, Rojid; Boopen, Seetanah; Ruwaydah, Hossenbocus - In: The IUP Journal of Financial Economics VI (2008) 4, pp. 34-49
The focus of this study is to assess the determinants of daily bid-ask spread. Following Ng (2007), the study uses an effective spread rather than a quoted one. Ng, argues that an effective spread is based on the deviation between trade price (true price) of the transaction. First, a daily...