A comparison of bid-ask spread proxies and determinants of bond bid-ask spread
This paper compares performances of bid-ask spread measures and analyzes bond-level characteristics' effects on the bid-ask spread for Turkish sovereign bonds traded in Borsa Istanbul. We use intraday order data to establish a relative quoted bid-ask spread as a benchmark and compare bid-ask sp...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-09-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300661 |