Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange
65 p.
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2014
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| Online Access: | http://hdl.handle.net/10356/57889 |
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sg-ntu-dr.10356-578892023-05-19T05:44:58Z Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange Oh Teck Ghee Lim Lee Theng Lai Pak Wah Lau Sie Ting Nanyang Business School DRNTU::Business::Finance::Stock exchanges 65 p. The microstructure of the Kuala Lumpur Stock Exchange (KLSE) is analysed using Telekom Malaysia stock as a proxy. The intraday data of a period of two months is examined for patterns in the returns, trading volume and bid-ask spread behaviour. The bid-ask spread is also tested for its relevant determinants. Results provided evidence to support that the KLSE (given the Telekom proxy) have some bid-ask spread patterns that are similar to that of the NYSE (as asserted by past literature). Transactions frequency, risk and price are found to be significant determinants of the bid-ask spread. The time interval between 10:45 am & 11:00 am (of the trading day) is the only time period tested that has an observable relationship with the spread. BUSINESS 2014-04-07T11:05:44Z 2014-04-07T11:05:44Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57889 Nanyang Technological University application/pdf |
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Nanyang Technological University |
| building |
NTU Library |
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Asia |
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DRNTU::Business::Finance::Stock exchanges |
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DRNTU::Business::Finance::Stock exchanges Oh Teck Ghee Lim Lee Theng Lai Pak Wah Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| description |
65 p. |
| author2 |
Lau Sie Ting |
| author_facet |
Lau Sie Ting Oh Teck Ghee Lim Lee Theng Lai Pak Wah |
| format |
Final Year Project |
| author |
Oh Teck Ghee Lim Lee Theng Lai Pak Wah |
| author_sort |
Oh Teck Ghee |
| title |
Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| title_short |
Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| title_full |
Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| title_fullStr |
Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| title_full_unstemmed |
Intraday analysis of bid-ask spread behaviour in the Kuala Lumpur Stock Exchange |
| title_sort |
intraday analysis of bid-ask spread behaviour in the kuala lumpur stock exchange |
| publishDate |
2014 |
| url |
http://hdl.handle.net/10356/57889 |
| _version_ |
1770563771098464256 |