Essays about: "Bid-ask Spread"

Showing result 11 - 15 of 45 essays containing the words Bid-ask Spread.

  1. 11. Hedging of a foreign exchange swapbook using Stochastic programming

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Emma Bohlin; Jonatan Harling; [2021]
    Keywords : term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Abstract : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. READ MORE

  3. 12. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jim Domeij; Oscar Krieg; [2021]
    Keywords : Market Microstructure Invariance; Bid-ask spread; Liquidity; Swedish stock market; Market impact;

    Abstract : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. READ MORE

  4. 13. Reference Point Prices in Mergers and Acquisitions and the Influence of Information Asymmetry: Evidence From the UK

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Axel Olofsson Lauri; [2020]
    Keywords : Anchoring; Reference points; Information asymmetry; Mergers and acquisitions; 52-week high;

    Abstract : This thesis examines the role of past peaks in target share prices as reference points in mergers and acquisitions in the UK, with a focus on target 52-week high share prices. The results indicate that there is a positive, non-linear relationship between past peak share prices and offer prices. READ MORE

  5. 14. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Watsachol Koosamart; Biyun Meng; [2020]
    Keywords : expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Abstract : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. READ MORE

  6. 15. Green Bonds: A Study on Expected Returns and Liquidity Effects

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Anton Bryngelsson; Anton Gavin; [2019-08-08]
    Keywords : Green bonds; Liquidity; Bid-Ask Spread; Fixed income; Expected return; Asset pricing; Bond pricing;

    Abstract : The emerging market of Green bonds has seen a positive growth over the recent years in the presence of the Paris objective of limiting the global warming to 2°C by the year 2100. In addition, fuelled the attention from a broader audience of issuers and investors. READ MORE