Browsing by Subject "Bid-ask spread"
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The dynamics of bid-ask spread in an order driven market: the case of Indian stock market
(2011)Bid-ask spread is the most important part of transaction costs for any asset class in the financial market. It affects the way information gets impounded into prices and thus price discovery of the asset. Bid ask spread, ... -
Estimation of bid-ask spread and its components in Indian stock market using trade prices
(IIM Ahmedabad, 2013-11)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 ...