Download or read book Determinants of Bid-Ask Spreads in Time-Series Analysis written by Alex Frino and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study empirically examines the determinants of bid-ask spreads using a time series approach. Consistent with cross-sectional models in the literature, time-series analysis shows that bid-ask spreads for most ASX300 stocks exhibit a negative relationship with trading activity and a positive relationship with price volatility. Partitioning the stocks based on their market capitalisation, we find bid-ask spreads for smaller sized stocks are more sensitive to changes in trading activity and less sensitive to price volatility vis-a-vis high-valued stocks.