Search Results - subject:"effective spread"

Garabedian, Garo; Inghelbrecht, Koen - 2020

Persistent link: https://www.econbiz.de/10012793065

Prices and informed trading: Evidence from an early stock market

Acheson, Graeme G.; Coyle, Christopher; Turner, John D. - 2018

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

Persistent link: https://www.econbiz.de/10011821409

Cycles of declines and reversals following overnight market declines

Abdi, Farshid - 2018 - This version: September 2018

This paper uncovers and explains the emergence of cycles of intraday declines and overnight reversals in the U.S. stock market in the 21st century. Using quote midpoints for the past 24 years of common stocks traded in the three main exchanges, I show that the cross-sectional association between...

Persistent link: https://www.econbiz.de/10011993528

Prices and informed trading : evidence from an early stock market

Acheson, Graeme G.; Coyle, Christopher; Turner, John D. - 2018

Persistent link: https://www.econbiz.de/10011817838

Measuring transaction costs in the absence of timestamps

Zikes, Filip - 2017

Persistent link: https://www.econbiz.de/10011709247

Is post-crisis bond liquidity lower?

Anderson, Mike; Stulz, René M. - 2017

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes relative to 2010-2012. This evidence contrasts with the...

Persistent link: https://www.econbiz.de/10011963317

Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizė

Baršauskaitė, Skaistė - 2008

), efektyvus (effective spread) ir užfiksuotas kainų skirtumai. Roll matas skaičiuojamas remiantis akcijų įvykusių sandorių …://www.baltic.omxgroup.com/ during the period from 25th February 2008 to 18th April 2008. In my work I have analysed inside bid-ask spread, effective … spread and fixed prices. Roll measure was measured using trade prices of stock; stationarity of differences of trade prices …

Persistent link: https://www.econbiz.de/10009479248