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الرئيسية > A Suggested Model for the Dete...>الوصف

A Suggested Model for the Determinants of Bid Ask Spread Evidence from Amman Stock Exchange ASE

المصدر: المجلة المصرية للدراسات التجارية
الناشر: جامعة المنصورة - كلية التجارة
المؤلف الرئيسي: Al Amarneh, Asma (Author)
المجلد/العدد: مج34, ع3
محكمة: نعم
الدولة: مصر
التاريخ الميلادي: 2010
الصفحات: 13 - 48
رقم MD: 660047
نوع المحتوى: بحوث ومقالات
اللغة: الإنجليزية
قواعد المعلومات: EcoLink
مواضيع:
الأسواق المالية | عمان | أسعار الأسهم
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المستخلص: This study aimed at suggesting a model for the main determinants of the bid-ask spread in the Amman Stock Exchange. Daily trading data for 50 selected companies, during a 6 years’ time period from 2001 to 2006, was collected from ASE publications. The suggested explanatory variables (security's specific factors: stock price, price volatility, trading volume, number of trades), company’s specific factors: firm size, industry affiliation, ownership concentration, ownership type, and financial performance), and stock market’s specific factors (tick size)), were significantly affected the relative bid-ask spread in ASE except the industry affiliation variable. Also, the cross-sectional variation in spreads in ASE is due primarily to differences in information asymmetries and differences in order processing cost. The study suggests that ASE should implement a multiple tick sizes, by defining small number of price ranges with different (low) tick sizes. The study emphasizes the need for stock ranking system to use it as a proxy for the security risk, since the bid-ask spread is a positive function of security risk

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