A comprehensive study on bid-ask spread and its determinants in India

References

• Al-Suhaibani, M., & Kryzanowski, L. (2000). An exploratory analysis of the order book, and order flow and execution on the Saudi stock market. Journal of Banking & Finance, 24(8), 1323–23. https://doi.org/10.1016/S0378-4266(99)00075-8
   Web of Science ®Google Scholar
• Alzahrani, A. (2011). Liquidity cost determinants in the Saudi market. International Journal of Trade, Economics and Finance, 2(3), 185. https://doi.org/10.7763/IJTEF.2011.V2.101
   Google Scholar
• Amihud, Y., & Mendelson, H. (1980). Dealership market: Market-making with inventory. Journal of Financial Economics, 8(1), 31–53. https://doi.org/10.1016/0304-405X(80)90020-3
   Web of Science ®Google Scholar
• Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. https://doi.org/10.1016/0304-405X(86)90065-6
   Web of Science ®Google Scholar
• Amihud, Y., & Mendelson, H. (1987). Trading mechanisms and stock returns: An empirical investigation. The Journal of Finance, 42(3), 533–553. https://doi.org/10.1111/j.1540-6261.1987.tb04567.x
   Web of Science ®Google Scholar
• Benston, G. J., & Hagerman, R. L. (1974). Determinants of bid-asked spreads in the over-the-counter market. Journal of Financial Economics, 1(4), 353–364. https://doi.org/10.1016/0304-405X(74)90014-2
   Google Scholar
• Benzennou, B., Ap Gwilym, O., & Williams, G. (2020). Commonality in liquidity across options and stock futures markets. Finance Research Letters, 32, 101096. https://doi.org/10.1016/j.frl.2019.01.008
   Web of Science ®Google Scholar
• Bessembinder, H., & Venkataraman, K. (2010). Bid-ask spreads: Measuring trade execution costs in financial markets. In Encyclopedia of Quantitative Finance (pp. 184–190).
   Google Scholar
• Birjandi, A. K., Akhyani, F., Sheikh, R., & Sana, S. S. (2019). Evaluation and selecting the contractor in bidding with incomplete information using MCGDM method. Soft Computing, 23(20), 10569–10585. https://doi.org/10.1007/s00500-019-04050-y
   Web of Science ®Google Scholar
• Brock, W. A., & Kleidon, A. W. (1992). Periodic market closure and trading volume: A model of intraday bids and asks. Journal of Economic Dynamics & Control, 16(3), 451–489. https://doi.org/10.1016/0165-1889(92)90045-G
   Web of Science ®Google Scholar
• Brown, C., Dark, J., & Davis, K. (2010). Exchange traded contracts for difference: Design, pricing, and effects. Journal of Futures Markets, 30(12), 1108–1149. https://doi.org/10.1002/fut.20475
   Web of Science ®Google Scholar
• Chakrabarty, B. K., & Jain, P. (2005). “Understanding the microstructure of Indian markets”, National Stock Exchange of India, Research Paper Series, NSE, Final Paper No. 128.
   Google Scholar
• Chen, N. F., & Kan, R. (1996). Center for Research in Security Prices. In K. Saitou, and K. Kubota (Eds.), Expected Return and the Bid-Ask Spread. Graduate School of Business, University of Chicago.
   Google Scholar
• Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56(2), 501–530. https://doi.org/10.1111/0022-1082.00335
   Web of Science ®Google Scholar
• Cohen, K. J., & Maier, S. F. (1986). The Microstructure of Securities Markets. Prentice-Hall.
   Google Scholar
• Copeland, T. E., & Galai, D. (1983). Information effects on the bid-ask spread. The Journal of Finance, 38(5), 457–1469. https://doi.org/10.1111/j.1540-6261.1983.tb03834.x
   Web of Science ®Google Scholar
• Demsetz, H. (1968). The cost of transacting. Quarterly Journal of Economics, 82(1), 33–53. https://doi.org/10.2307/1882244
   Web of Science ®Google Scholar
• Easley, D., & O’Hara, M. (1992). Time and the process of security price adjustment. The Journal of Finance, 47(2), 577–605. https://doi.org/10.1111/j.1540-6261.1992.tb04402.x
   Web of Science ®Google Scholar
• Fender, I., & Lewrick, U. (2015). “Shifting tides–market liquidity and market-making in fixed income instruments”, BIS Quarterly Review, March.
   Google Scholar
• Ghasemiyeh, R., Moghdani, R., & Sana, S. S. (2017). A hybrid artificial neural network with metaheuristic algorithms for predicting stock price. Cybernetics and Systems, 48(4), 365–392. https://doi.org/10.1080/01969722.2017.1285162
   Web of Science ®Google Scholar
• Giouvris, E., & Philippatos, G. (2008). Determinants of the components of the bid-ask spreads on the London stock exchange: The case of changes in trading regimes. Journal of Money, Investment and Banking, 1(1), 49–61.
   Google Scholar
• Gkillas, K., Vortelinos, D. I., Babalos, V., & Wohar, M. E. (2019). “Day-of-the-week effect and spread determinants: Some international evidence from equity markets”, available at SSRN 3434805.
   Google Scholar
• Glosten, L. R., & Harris, L. E. (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21(1), 23–142. https://doi.org/10.1016/0304-405X(88)90034-7
   Web of Science ®Google Scholar
• Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71–100. https://doi.org/10.1016/0304-405X(85)90044-3
   Web of Science ®Google Scholar
• Harris, L. (2003). Trading and exchanges: Market microstructure for practitioners. OUP USA.
   Google Scholar
• Hasbrouck, J. (2006). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press.
   Google Scholar
• Heflin, F., & Shaw, K. W. (2000). Blockholder ownership and market liquidity. Journal of Financial and Quantitative Analysis, 35(4), 621–633. https://doi.org/10.2307/2676258
   Web of Science ®Google Scholar
• Ho, T. S., & Stoll, H. R. (1983). The dynamics of dealer markets under competition. The Journal of Finance, 38(4), 1053–1074. https://doi.org/10.1111/j.1540-6261.1983.tb02282.x
   Web of Science ®Google Scholar
• Huang, R. D., & Stoll, H. R. (1997). The components of the bid-ask spread: A general approach. The Review of Financial Studies, 10(4), 995–1034. https://doi.org/10.1093/rfs/10.4.995
   Web of Science ®Google Scholar
• Huang, R. D., & Stoll, H. R. (2001). Tick size, bid-ask spreads, and market structure. Journal of Financial and Quantitative Analysis, 36(4), 503–522. https://doi.org/10.2307/2676222
   Web of Science ®Google Scholar
• Huang, Y. C. (2004). The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT. Journal of Futures Markets, 24(9), 835–860. https://doi.org/10.1002/fut.20113
   Web of Science ®Google Scholar
• Hussain, S. M. (2011). The intraday behaviour of bid-ask spreads, trading volume and return volatility: Evidence from DAX30. International Journal of Economics and Finance, 3(1), 23. https://doi.org/10.5539/ijef.v3n1p23
   Google Scholar
• Jegadeesh, N., & Subrahmanyam, A. (1993). Liquidity effects of the introduction of the S&P 500 index futures contract on the underlying stocks. Journal of Business, 66(2), 171–187. https://doi.org/10.1086/296600
   Web of Science ®Google Scholar
• Jha, R., Murthy, K. V., Nagarajan, H. K., & Seth, A. K. (1998). “Components of the wholesale bid-ask spread and the structure of grain markets: The case of rice in India”, IIM Bangalore Research Paper, (106).
   Google Scholar
• Kim, S.-H., & Ogden, J. P. (1996). Determinants of the components of bid-ask spreads on stocks. European Financial Management, 2(1), 127–145. https://doi.org/10.1111/j.1468-036X.1996.tb00032.x
   Google Scholar
• Lee, C. M., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733–746. https://doi.org/10.1111/j.1540-6261.1991.tb02683.x
   Web of Science ®Google Scholar
• Liu, Q., Hua, R., & An, Y. (2016). Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets. Pacific-Basin Finance Journal, 38, 135–148. https://doi.org/10.1016/j.pacfin.2016.04.002
   Web of Science ®Google Scholar
• Lumley, T. (2011). “Biglm: Bounded memory linear and generalized linear models.” R package version 0.8, available at: http://cran.r-project.org/web/packages/biglm.
   Google Scholar
• Madhavan, A. (2000). Market microstructure: A survey. Journal of Financial Markets, 3(3), 205–258. https://doi.org/10.1016/S1386-4181(00)00007-0
   Google Scholar
• McInish, T. H., & Wood, R. A. (1992). An analysis of intraday patterns in bid/ask spreads for NYSE stocks. The Journal of Finance, 47(2), 753–764. https://doi.org/10.1111/j.1540-6261.1992.tb04408.x
   Web of Science ®Google Scholar
• Menyah, K., & Paudyal, K. (2000). The components of bid–ask spreads on the London Stock Exchange. Journal of Banking & Finance, 24(11), 1767–1785. https://doi.org/10.1016/S0378-4266(99)00102-8
   Web of Science ®Google Scholar
• Miller, A. J. (1992). Algorithm AS 274: Least squares routines to supplement those of Gentleman. Journal of the Royal Statistical Society. Series C, Applied Statistics, 41(2), 458–478. http://www.jstor.org/stable/2347583
   Web of Science ®Google Scholar
• Minardi, A. M. A. F., Sanvicente, A. Z., & Monteiro, R. (2006). “Bid-ask spread and liquidity premium in Brazil”, ( No. wpe_53). Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
   Google Scholar
• Muggeo, V. M., & Adelfio, G. (2010). Efficient change point detection for genomic sequences of continuous measurements. Bioinformatics, 27(2), 161–166. https://doi.org/10.1093/bioinformatics/btq647
   PubMed Web of Science ®Google Scholar
• Myers, K., Lawrence, E., Fugate, M., Bowen, C. M., Ticknor, L., Woodring, J., … Ahrens, J. (2016). Partitioning a large simulation as it runs. Technometrics, 58(3), 329–340. https://doi.org/10.1080/00401706.2016.1158740
   Web of Science ®Google Scholar
• Narahari, Y. (2002). “Data structures and algorithms”, Lecture Notes, Department of Computer Science and Automation, Indian Institute of Science, Bangalore.
   Google Scholar
• Narayan, P. K., Mishra, S., & Narayan, S. (2014). Spread determinants and the day-of-the-week effect. The Quarterly Review of Economics and Finance, 54(1), 51–60. https://doi.org/10.1016/j.qref.2013.07.008
   Google Scholar
• Nath, G. C., Rajaram, S., Shiraly, P., & Dalvi, M. (2017). Determinants of bid-ask spread in the Indian government securities market. Money, Banking and Finance, 52(12), 25. https://www.epw.in/journal/2017/12/money-banking-and-finance/determinants-bid-ask-spread-indian-government-securities
   Google Scholar
• O’Hara, M. (2015). High frequency market microstructure. Journal of Financial Economics, 116(2), 257–270. https://doi.org/10.1016/j.jfineco.2015.01.003
   Web of Science ®Google Scholar
• O’Hara, M., Saar, G., & Zhong, Z. (2019). Relative tick size and the trading environment. The Review of Asset Pricing Studies, 9(1), 47–90. https://doi.org/10.1093/rapstu/ray009
   Web of Science ®Google Scholar
• Paital, R. R., & Sharma, N. K. (2016). Bid-ask spreads, trading volume and return volatility: Intraday evidence from Indian stock market. Eurasian Journal of Economics and Finance, 4(1), 24–40. https://doi.org/10.15604/ejef.2016.04.01.002
   Google Scholar
• Plerou, V., Gopikrishnan, P., & Stanley, H. E. (2005). Quantifying fluctuations in market liquidity: Analysis of the bid-ask spread. Physical Review E, 71(4), 046131. https://doi.org/10.1103/PhysRevE.71.046131
   Web of Science ®Google Scholar
• Rahman, S., Lee, C. F., & Ang, K. P. (2002). Intraday return volatility process: Evidence from NASDAQ stocks. Review of Quantitative Finance and Accounting, 19(2), 155–180. https://doi.org/10.1023/A:1020683012149
   Google Scholar
• Rath, S. (2004). The hidden costs of trade execution. JASSA, 4, 35–37.
   Google Scholar
• Riedl, E. J., & Serafeim, G. (2011). Information risk and fair values: An examination of equity betas. Journal of Accounting Research, 49(4), 1083–1122. https://doi.org/10.1111/j.1475-679X.2011.00408.x
   Web of Science ®Google Scholar
• Ripamonti, A. (2016). Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. Brazilian Administration Review, 13(1), 76–97. https://doi.org/10.1590/1807-7692bar2016150036
   Google Scholar
• Rojcek, J., & Ziegler, A. (2016). “High-frequency trading in limit order markets: Equilibrium impact and regulation”, Swiss Finance Institute Research Paper, 15–23.
   Google Scholar
• Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. The Journal of Finance, 39(4), 1127–1139. https://doi.org/10.1111/j.1540-6261.1984.tb03897.x
   Web of Science ®Google Scholar
• Schwartz, R. A. (1988). Equity Markets: Structure, Trading, and Performance. HarperCollins College Div.
   Google Scholar
• Seddon, J. J., & Currie, W. L. (2017). A model for unpacking big data analytics in high-frequency trading. Journal of Business Research, 70, 300–307. https://doi.org/10.1016/j.jbusres.2016.08.003
   Web of Science ®Google Scholar
• Stoll, H. R. (1978). The supply of dealer services in securities markets. The Journal of Finance, 33(4), 1133–1151. https://doi.org/10.1111/j.1540-6261.1978.tb02053.x
   Web of Science ®Google Scholar
• Su, E., & Tokmakcioglu, K. (2020). A comparison of bid-ask spread proxies and determinants of bond bid-ask spread. In Borsa Istanbul Review. https://www.sciencedirect.com/science/article/pii/S2214845020300661
   Google Scholar
• Tinic, S. M., & West, R. R. (1972). Competition and the pricing of dealer service in the over-the-counter stock market. Journal of Financial and Quantitative Analysis, 7(3), 1707–1727. https://doi.org/10.2307/2329797
   Web of Science ®Google Scholar
• Wang, C., Chen, M. H., Schifano, E., Wu, J., & Yan, J. (2016). “Statistical methods and computing for big data”, arXiv preprint: https://arxiv.org/abs/1502.07989; https://dx.doi.org/10.4310/SII.2016.v9.n4.a1.
   Google Scholar
• Wang, G. H., Michalski, R. J., Jordan, J. V., & Moriarty, E. J. (1994). An intraday analysis of bid‐ask spreads and price volatility in the S&P 500 Index futures market. Journal of Futures Markets, 14(7), 837–859. https://doi.org/10.1002/fut.3990140706
   Web of Science ®Google Scholar
• Wang, J. (1999). Asymmetric information and the bid-ask spread: An empirical comparison between automated order execution and open outcry auction. Journal of International Financial Markets, Institutions and Money, 9(2), 115–128. https://doi.org/10.1016/S1042-4431(99)00002-5
   Google Scholar
• Zhang, M. Y., Russell, J. R., & Tsay, R. S. (2008). Determinants of bid and ask quotes and implications for the cost of trading. Journal of Empirical Finance, 15(4), 656–678. https://doi.org/10.1016/j.jempfin.2007.12.003
   Web of Science ®Google Scholar