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:: Volume 17, Issue 51 (Autumn 2009) ::
qjerp 2009, 17(51): 75-92 Back to browse issues page
A Survey on the Relationship between Bid-Ask Spread and Stock Return Volatility and Market Value in Tehran Stock Exchange
Ahmad Ahmadpour * , Amir Rasaiian
, Ahmad Pour@umz.ac.ir
Abstract:   (11370 Views)
Bid-Ask spread is an important component of market microstructure. Many studies have been done to determine the determinants of bid-ask spread. The conclusions of some studies indicate that there is a significant relationship between Bid-Ask spread and stock return volatility and market value of the firm. The main goal of this paper is survey the relationship between Bid-Ask spread and stock return volatility and market value of the firm. Therefore 156 firms are examined for the period 1381 through 1384. The selected approaches to examine the hypotheses are cross sectional and panel data regressions. Signification of the models is examined by t and F statistics.
Keywords: ‌Bid-Ask ‌Spread, ‌Stock Return ‌Volatility, ‌Market ‌Value, ‌Market Microstructure
Full-Text [PDF 441 kb]   (6216 Downloads)    
Type of Study: Research | Subject: General
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Ahmadpour A, Rasaiian A. A Survey on the Relationship between Bid-Ask Spread and Stock Return Volatility and Market Value in Tehran Stock Exchange. qjerp 2009; 17 (51) :75-92
URL: http://qjerp.ir/article-1-252-en.html


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Volume 17, Issue 51 (Autumn 2009) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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