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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Diana Gasanova
Empirical Analysis of Bid-ask Spread Determinants in the US Equity Market
2018
Previous empirical and theoretical literature outlines various factors which might determine the values and movements of the quoted bid-ask spreads. This paper provides an empirical investigation of the market-related and firm-related components that might substantially affect quoted spreads, using trading and financial data of NYSE and NASDAQ companies for the period 2014 - 2018. In addition, the study examines how relative quoted spreads of the centralised exchange differ from those of the over-the-counter market, after controlling for the mentioned variables. Empirical results provide economically meaningful evidence that specific trading characteristics alongside with company-specific parameters have a statistically significant association with the quoted relative spread, and the value of the spread of the NYSE-listed stocks is considerably smaller than that of the NASDAQ stocks.

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