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dc.contributor.authorSingh, Priyanka
dc.contributor.authorPandey, Ajay
dc.date.accessioned2021-04-06T06:06:59Z
dc.date.available2021-04-06T06:06:59Z
dc.date.issued2013-11
dc.identifier.citationSingh, Priyanka Pandey, Ajay. (2013). Estimation of bid-ask spread and its components in Indian stock market using trade prices. IIM Ahmedabad.en_US
dc.identifier.urihttp://hdl.handle.net/11718/23819
dc.description.abstractIn 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 components from trade prices. The sample consists of tick-by-tick data for the time period January 2002 through to October 2008 of 160 stocks traded on the National Stock Exchange of India. We estimate implied bid-ask spreads and its components (adverse selection costs; combined inventory and order processing costs) using theoretical models. We find that all the models used in the study produce consistent estimates of bid-ask spreads and its components. In the Indian Stock Market, we find that the adverse selection cost and the combined order-processing and inventory-holding cost each account for approximately 50 percent of the bid-ask spread. We also find that the estimated bid-ask spreads are approximately 80 percent of the quoted bid-ask spreads. In our sample period, we find that the relative bid-ask spreads have decreased over the years.en_US
dc.language.isoenen_US
dc.publisherIIM Ahmedabaden_US
dc.subjectBid-ask spreaden_US
dc.subjectadverse selection costsen_US
dc.subjectinventory holding costsen_US
dc.titleEstimation of bid-ask spread and its components in Indian stock market using trade pricesen_US
dc.typeWorking Paperen_US


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