Analysis of the Determinants of the Day Bid-Ask Spread

Student: Kanatova Anna

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

Evaluation of liquidity as a financial asset in particular and the entire market as a whole is one of the most important components of the fundamental analysis in the financial market. The paper considers various indicators of the liquidity of the asset and describes their differences. Bid-ask spread was chosen as a proxy for further analysis since it is not sufficiently considered in the domestic literature and can be one of the most accurate estimates of the market property under consideration. The main purpose of the work is to select and analyze the determinants that affect the spread of the asset. The main results show that bid-ask spread of Russian companies repeats the described in the theory dependence on market characteristics, with the exception of the price of the asset. The results of the research will help to better understand the microstructure of the market for risk assessment and investment portfolio formation.

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