Examples of Relative Spread in a sentence
Therefore, relative to the Asian Index the funds over-invest in Korea by 9.05% and under-invest in Taiwan by 0.27% as measured by % Relative Spread.
The effective spread takes into account the possibility of a transaction within the spread, although in practice this is rare on the Paris stock exchange.9 The relative effective spread relates the spread to the midpoint of the spread10: Effective Relative Spread = Midpoint , where Ask Price + Bid PriceMidpoint =2 .
We expect that firm-level governance and accounting quality will matter more to foreign institutional investors in countries with weaker country-level shareholder protection laws.We also estimate equation 4 using % Relative Spread as the dependent variable at the firm-level in order to examine the characteristics of firms in which investment is under or over weighted relative to the MSCI index.
DJIA 30ASX 20 NYSE388 TSE342LSE266 Relative Spread (b.p.)We plot below the average relative quoted and average effective spreads in DJIA 30 stocks, ASX 20 stocks, together with the 266 LSE, 388 NYSE and 342 Tokyo stocks identified by our matched-pair procedure for 2002 (Q4) to 2003 (Q3).
In contrast, Relative Spread (see, e.g., Holden, Jacobsen, and Subrahmanyam (2014)), the difference between the logarithm of the best offer price and the logarithm of the best bid price, and Amihud (2002) measure, the stock`s absolute return divided by its dollar volume, define the level of a stock`s illiquidity.
It is not the case of the Petitioner that this document was not in the knowledge of its officers.
In this paper, we use three proxies to capture stock liquidity, namely Absolute Spread, Relative Spread and Amihud Ratio.
Electronic trading systems require a standardized method for identifying financial instruments to facilitate the clearing and settlement of trades and other transactions.
In particular, Relative Spread is computed as:*2%:C8#c%d39%CA = eU/fUgU (7) Where h* reflects the prevailing ask quote, i* reflects the prevailing bid quote and j*represents the midpoint quote.
The positive coe cients for Relative Spread are in line with our expectations suggesting a more pronounced drift for illiquid stocks.