Research Article
BibTex RIS Cite
Year 2016, Volume: 3 Issue: 3, 244 - 254, 30.09.2016
https://doi.org/10.17261/Pressacademia.2016321992

Abstract

References

  • Bollerslev, T., & Melvin, M. 1994, “Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis”, Journal of International Economics, 36(3), 355-372.
  • Chung, K. H., & Zhang, H. 2014, “A simple approximation of intraday spreads using daily data”, Journal of Financial Markets, 17(1), 94–120.
  • Corwin, S. A., & Schultz, P. 2012, “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices”, Journal of Finance, 67(2), 719–760.
  • Fong, K. Y. L., Holden, C. W., & Trzcinka, C. A. 2014, “What Are The Best Liquidity Proxies For Global Research?”, Indiana University Working Paper.
  • Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. 2009, “Do liquidity measures measure liquidity?”, Journal of Financial Economics, 92(2), 153–181.
  • Groebner, D. F., Shannon, P. W., Fry, P. C., & Smith, K. D. 2008, “Business Statistics: A Decision-Making Approach”, 7th Edition, Prentice-Hall.
  • Hasbrouck, J. 2004, “Liquidity in the futures pits: Inferring market dynamics from incomplete data”, Journal of Financial and Quantitative Analysis, 39, 305–326.
  • Hasbrouck, J. 2009, “Trading costs and returns for U.S. equities: Estimating effective costs from daily data”, Journal of Finance, 65, 1445-1477.
  • Holden, C. W. 2009, “New low-frequency spread measures”, Journal of Financial Markets, 12(4), 778–813.
  • Holden, C. W. 2014, “The Empirical Analysis of Liquidity”, Foundations and Trends in Finance, 8(4), 263–365.
  • Holden, C. W., & Jacobsen, S. 2014, “Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions”, Journal of Finance, 69(4), 1747–1785.
  • Lesmond, D., Ogden, J., & Trzcinka, C. A. 1999, “A New Estimate of Transaction Costs”, Review of Financial Studies, 12(5), 1113–41.
  • Lesmond, D. 2005, “Liquidity of emerging markets”, Journal of Financial Economics, 77(2), 411–452.
  • Madhavan, A. 2000, “Market microstructure: A survey”, Journal of Financial Markets, 3(3), 205–258.
  • Roll, R. 1984, “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Model”, Journal of Finance, 39(4), 1127–1139.
  • Schestag, R., Schuster, P., & Uhrig-Homburg M. 2016, Measuring Liquidity in Bond Markets, Review of Financial Studies, 29-5, 1170-1219.

A COMPARISON OF BID-ASK SPREAD PROXIES: EVIDENCE FROM BORSA ISTANBUL FUTURES

Year 2016, Volume: 3 Issue: 3, 244 - 254, 30.09.2016
https://doi.org/10.17261/Pressacademia.2016321992

Abstract

We
analyze the performance of five different methods appearing in the market
microstructure literature in predicting effective and quoted bid-ask spreads
(Roll, LOT Mixed, Effective Tick, High-Low and Closing Percent Quoted Spread
proxies). With data from index futures, currency futures and gold futures
traded in Borsa Istanbul and taking percent effective and percent quoted
spreads obtained from intraday trade and quote data as benchmarks, we calculate
and compare the correlations and root mean square errors of the spread
measures. Results show that none of the proxies is successful enough in
estimating effective or quoted spread although under normal market conditions,
Effective Tick appears to perform best

References

  • Bollerslev, T., & Melvin, M. 1994, “Bid—ask spreads and volatility in the foreign exchange market: An empirical analysis”, Journal of International Economics, 36(3), 355-372.
  • Chung, K. H., & Zhang, H. 2014, “A simple approximation of intraday spreads using daily data”, Journal of Financial Markets, 17(1), 94–120.
  • Corwin, S. A., & Schultz, P. 2012, “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices”, Journal of Finance, 67(2), 719–760.
  • Fong, K. Y. L., Holden, C. W., & Trzcinka, C. A. 2014, “What Are The Best Liquidity Proxies For Global Research?”, Indiana University Working Paper.
  • Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. 2009, “Do liquidity measures measure liquidity?”, Journal of Financial Economics, 92(2), 153–181.
  • Groebner, D. F., Shannon, P. W., Fry, P. C., & Smith, K. D. 2008, “Business Statistics: A Decision-Making Approach”, 7th Edition, Prentice-Hall.
  • Hasbrouck, J. 2004, “Liquidity in the futures pits: Inferring market dynamics from incomplete data”, Journal of Financial and Quantitative Analysis, 39, 305–326.
  • Hasbrouck, J. 2009, “Trading costs and returns for U.S. equities: Estimating effective costs from daily data”, Journal of Finance, 65, 1445-1477.
  • Holden, C. W. 2009, “New low-frequency spread measures”, Journal of Financial Markets, 12(4), 778–813.
  • Holden, C. W. 2014, “The Empirical Analysis of Liquidity”, Foundations and Trends in Finance, 8(4), 263–365.
  • Holden, C. W., & Jacobsen, S. 2014, “Liquidity measurement problems in fast, competitive markets: Expensive and cheap solutions”, Journal of Finance, 69(4), 1747–1785.
  • Lesmond, D., Ogden, J., & Trzcinka, C. A. 1999, “A New Estimate of Transaction Costs”, Review of Financial Studies, 12(5), 1113–41.
  • Lesmond, D. 2005, “Liquidity of emerging markets”, Journal of Financial Economics, 77(2), 411–452.
  • Madhavan, A. 2000, “Market microstructure: A survey”, Journal of Financial Markets, 3(3), 205–258.
  • Roll, R. 1984, “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Model”, Journal of Finance, 39(4), 1127–1139.
  • Schestag, R., Schuster, P., & Uhrig-Homburg M. 2016, Measuring Liquidity in Bond Markets, Review of Financial Studies, 29-5, 1170-1219.
There are 16 citations in total.

Details

Journal Section Articles
Authors

Zeynep Cobandag Guloglu This is me

Cumhur Ekinci

Publication Date September 30, 2016
Published in Issue Year 2016 Volume: 3 Issue: 3

Cite

APA Guloglu, Z. C., & Ekinci, C. (2016). A COMPARISON OF BID-ASK SPREAD PROXIES: EVIDENCE FROM BORSA ISTANBUL FUTURES. Journal of Economics Finance and Accounting, 3(3), 244-254. https://doi.org/10.17261/Pressacademia.2016321992

Journal of Economics, Finance and Accounting (JEFA) is a scientific, academic, double blind peer-reviewed, quarterly and open-access online journal. The journal publishes four issues a year. The issuing months are March, June, September and December. The publication languages of the Journal are English and Turkish. JEFA aims to provide a research source for all practitioners, policy makers, professionals and researchers working in the area of economics, finance, accounting and auditing. The editor in chief of JEFA invites all manuscripts that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JEFA publishes academic research studies only. JEFA charges no submission or publication fee.

Ethics Policy - JEFA applies the standards of Committee on Publication Ethics (COPE). JEFA is committed to the academic community ensuring ethics and quality of manuscripts in publications. Plagiarism is strictly forbidden and the manuscripts found to be plagiarized will not be accepted or if published will be removed from the publication. Authors must certify that their manuscripts are their original work. Plagiarism, duplicate, data fabrication and redundant publications are forbidden. The manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract and method).

Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.