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Title: Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
Authors: Lim, Desmond.
Loh, Desmond Tjit Leong.
Keywords: DRNTU::Business::Finance::Futures
Issue Date: 2000
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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