Determinants of Bid-ask Spread in the Indian Government Securities Market
Liquidity measurement in financial markets has generated considerable attention in financial research. In this paper, the cost of liquidity is measured by computing the bid-ask spreads of liquid securities traded in the Indian government securities market, and is analysed with other liquidity measur...
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| Veröffentlicht in: | Economic and political weekly 2017-03, Vol.52 (12), p.129-140 |
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| creator | NATH, GOLAKA C RAJARAM, SAHANA SHIRALY, PRIYANKA DALVI, MANOJ |
| description | Liquidity measurement in financial markets has generated considerable attention in financial research. In this paper, the cost of liquidity is measured by computing the bid-ask spreads of liquid securities traded in the Indian government securities market, and is analysed with other liquidity measures. Overall, volatility is found to be the key variable impacting bid-ask spreads. Trading volume has a negative impact on spreads, although at a much smaller magnitude. Trade initiation and net liquidity appear to be smaller but significant drivers of spreads. Order imbalance and trade execution variables, analysed separately with the other variables, show divergent relationship with spreads. |
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| identifier | ISSN: 0012-9976 |
| ispartof | Economic and political weekly, 2017-03, Vol.52 (12), p.129-140 |
| issn | 0012-9976 2349-8846 |
| language | eng |
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| source | JSTOR Archive Collection A-Z Listing |
| subjects | FINANCIAL MARKETS Government bonds Market prices Securities markets Stock markets Variables Zero coupon bonds |
| title | Determinants of Bid-ask Spread in the Indian Government Securities Market |
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