Liquid securities have lower bid ask spreads
and volatility (daily standard deviation) is increasing in the level of liquidity.
We find marked decreases over all the tests employed for the dividend yield (a proxy for cost of capital), bid ask spreads and volatility.
The mean bid ask spreads declined from an average of 3.
Dividend yields, bid ask spreads and volatility have all seen substantial decreases in the average level since the change in regulations, while the liquidity has significantly increased.
Declerck (2002) listed 5 millions transactions and the same number of bid ask spreads for the period between January and June 1998 for the CAC 40 stocks.
t] is the return calculated with the inferior limit of the bid ask spread and [RD.
1996, `The determinants of market bid ask spreads on the Australian Stock Exchange: Cross-sectional analysis', Accounting and Finance, vol.
1995, `Market structure and the intraday pattern of bid ask spreads for NASDAQ securities', Journal of Business, vol.
The significance of the dummy variable in this preliminary exercise indicates that the Tiananmen Square conflict is associated with a significant structural break in the relationship between bid ask spreads
and country risk.
This market is deep and liquid, routinely permitting participants to execute trades of huge size with remarkable rapidity at paper-thin bid ask spreads
If we assume that the increase in demand for the options from A1([lambda]) to A2([lambda]), for a fixed supply B([lambda]), is such that the following three assumptions are satisfied then it is possible to give the necessary and sufficient conditions under which increased transactions demand yield increased volume and narrower bid ask spreads.
This finding is not reported in the other studies mainly because during the last few minutes before the close of the exchange, bid ask spreads do not reflect market conditions.