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

• 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
• Institution: Nanyang Technological University

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...