Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
This paper examines various models that estimate bid-ask spreads (BAS). Tests are conducted on Nikkei 225 Futures contracts on the Singapore Exchange (SGX) for the period from 18 June 1992 to 9 September 1999. The extent to which 3 models of Roll, Choi and CDP (Roll-based models) correctly estimate...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10018 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper examines various models that estimate bid-ask spreads (BAS). Tests are conducted on Nikkei 225 Futures contracts on the Singapore Exchange (SGX) for the period from 18 June 1992 to 9 September 1999. The extent to which 3 models of Roll, Choi and CDP (Roll-based models) correctly estimate the actual BAS is examined. Effects on the Asian Economic Crisis on the spreads are also examined. |
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