Details/Description:
Using data downloaded from CRSP/Compustat, examine the relationship between the bid- ask spread (proxied by the quoted spread and Roll’s spread) and other variables which you believe may affect the bid-ask spread. Support your choice using relevant research material from the finance and economics literature. The literature review should precede your empirical analysis in the report (see below).
- all the stocks were taken from the bank's industry.
- we should get the ask-bid spread and explain it.
-we should explain how the variables affected the spread (like volume, stock price, volatility) by calculation from our data (using stata software).[login to view URL]
- we should run regression for both quoted spread and roll spread. (an example on the third video)
- and do the other requirements that needed as the following
Notes:
• 1) The empirical analysis should be implemented using the statistical package STATA.
• 2) You should briefly discuss data availability issues (if any) for variables that may potentially affect the bid-ask spread, but for which there are no data on CRSP/Compustat.
• 3) You should briefly describe the features of the trading mechanism for the stocks chosen.
• 4) You can choose to download data for as many stocks as you want, and for as many days as you want.
• 5) Your empirical analysis should be based on a multiple regression framework. You should discuss your results, for each variable chosen, in terms of:
a. Sign of the coefficient;
b. Statistical significance of the coefficient;
c. Magnitude of the coefficient.
REPORT SHOULD BE AS THE STRUCTURE
1. INTRODUCTION (200 words)
2. LITERATURE REVIEW (700 words)
3. EMPIRICAL ANALYSIS (600 words)
References
Tables
Figures
Deadline Thursday night
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