* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
Download Document
Commodity market wikipedia , lookup
Financial crisis wikipedia , lookup
Foreign exchange market wikipedia , lookup
Derivative (finance) wikipedia , lookup
Currency intervention wikipedia , lookup
High-frequency trading wikipedia , lookup
Technical analysis wikipedia , lookup
Systemic risk wikipedia , lookup
Trading room wikipedia , lookup
Efficient-market hypothesis wikipedia , lookup
Futures exchange wikipedia , lookup
Securities fraud wikipedia , lookup
Algorithmic trading wikipedia , lookup
Short (finance) wikipedia , lookup
Hedge (finance) wikipedia , lookup
Market sentiment wikipedia , lookup
Stock market wikipedia , lookup
2010 Flash Crash wikipedia , lookup
Day trading wikipedia , lookup
A Suggested Model for the Determinants of Bid-Ask Spread: Evidence from Amman Stock Exchange (ASE). Abstract This study aimed at suggesting a model for the main determinants of the bid-ask spread in the Amman Stock Exchange. Daily trading data for 50 selected companies, during a 6 years’ time period from 2001 to 2006, was collected from ASE publications. The suggested explanatory variables (security's specific factors: stock price, price volatility, trading volume, number of trades), company’s specific factors: firm size, industry affiliation, ownership concentration, ownership type, and financial performance), and stock market’s specific factors (tick size)), were significantly affected the relative bid-ask spread in ASE except the industry affiliation variable. Also, the cross-sectional variation in spreads in ASE is due primarily to differences in information asymmetries and differences in order processing cost. The study suggests that ASE should implement a multiple tick sizes, by defining small number of price ranges with different (low) tick sizes. The study emphasizes the need for stock ranking system to use it as a proxy for the security risk, since the bid-ask spread is a positive function of security risk. KEYWORDS: Financial Markets, Market Microstructure, Order Driven Market, Transaction Cost, Bid-Ask Spread, Amman Stock Exchange.