Year of Graduation
Empirical Analysis of Bid-ask Spread Determinants in the US Equity Market
Double degree programme in Economics of the NRU HSE and the University of London
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.