Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.

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: Lim, Desmond., Loh, Desmond Tjit Leong.
Other Authors: Nanyang Business School
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Futures
Online Access:http://hdl.handle.net/10356/10018
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-10018
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spelling sg-ntu-dr.10356-100182023-05-19T05:44:56Z Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures. Lim, Desmond. Loh, Desmond Tjit Leong. Nanyang Business School DRNTU::Business::Finance::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 the actual BAS is examined. Effects on the Asian Economic Crisis on the spreads are also examined. 2008-09-24T07:38:53Z 2008-09-24T07:38:53Z 2000 2000 Final Year Project (FYP) http://hdl.handle.net/10356/10018 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Futures
spellingShingle DRNTU::Business::Finance::Futures
Lim, Desmond.
Loh, Desmond Tjit Leong.
Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
description 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.
author2 Nanyang Business School
author_facet Nanyang Business School
Lim, Desmond.
Loh, Desmond Tjit Leong.
format Final Year Project
author Lim, Desmond.
Loh, Desmond Tjit Leong.
author_sort Lim, Desmond.
title Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
title_short Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
title_full Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
title_fullStr Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
title_full_unstemmed Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
title_sort alternative bid - ask spread estimation models : a test on sgx nikkei futures.
publishDate 2008
url http://hdl.handle.net/10356/10018
_version_ 1770567487085084672

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