A comparison of alternative spread décomposition models on Euronext Brussels
| Autor: | Rudy De Winne, Christophe Majois |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2003 |
| Předmět: |
Cost estimate
Computer science Composantes de la fourchette de prix Adverse selection Market Microstructure Bid-Ask Spread Components Information Asymmetry Inventory Holding Costs Microstructure des marchés Marchés dirigés par les ordres Asymétrie d'information Coûts d'inventaire Information asymmetry General (includes Measurement and Data) [General Financial Markets] Order (exchange) Statistics Decomposition (computer science) G10 Reliability (statistics) G14 Holding cost Market microstructure jel:G10 jel:G14 Economie Information and Market Efficiency Event Studies |
| Zdroj: | Brussels Economic Review / Cahiers économiques de Bruxelles Brussels economic review, 46 (4 |
| Popis: | This paper checks the relevance of alternative spread decomposition models in an order-driven environment. Using intraday data from Euronext Brussels, we compute estimates of the bid-ask spread components provided by eight models. Our results support the hypothesis of no inventory holding costs in order-driven markets. Focusing on adverse selection component, we find high correlation across five models assuming no inventory holding cost. In order to assess the reliability of the "best" models, i.e. Huang & Stoll's (1997) 2-way decomposition, Madhavan et al.'s (1997) method and Lin et al.'s (1995) procedure, we compare their adverse selection cost estimates with five information asymmetry proxies. However, results on that point do not allow us to draw definitive conclusions. info:eu-repo/semantics/published |
| Databáze: | OpenAIRE |
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