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

Zeynep Cobandag GULOGLU; Cumhur EKİNCİ

doi:https://doi.org/10.17261/Pressacademia.2016321992

Makale detayları

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

Yazarlar:

Zeynep Cobandag GULOGLU | Cumhur EKİNCİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2016 Vol.3 Issue 3, pp.244-254

Belge Tipi:

Makale

Yayın Tarihi:

9/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000738929

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2016321992

Özet:

 


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

.

Makale detayları

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

Yazarlar: Zeynep Cobandag GULOGLU | Cumhur EKİNCİ

Yayıncı: PressAcademia

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Journal of Economics Finance and Accounting 2016 Vol.3 Issue 3, pp.244-254

Belge Tipi: Makale

Yayın Tarihi: 9/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000738929

Sıklık: Üç Aylık

eISSN: 2148-6697

DOI: https://doi.org/10.17261/Pressacademia.2016321992

Sayı

Yazarlar:

Zeynep Cobandag GULOGLU | Cumhur EKİNCİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2016 Vol.3 Issue 3, pp.244-254

Belge Tipi:

Makale

Yayın Tarihi:

9/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000738929

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2016321992