Alternative bid - ASK spread estimation models : a test on SGX NIKKEI futures.
Loh, Desmond Tjit Leong.
Date of Issue2000
College of Business (Nanyang Business School)
This paper examines various models that estimate bid-ask spreads (BAS). Tests are conducted on Nikkei 225 Futures contracts on the Singapore Exchange (SGX) for the period from 18 June 1992 to 9 September 1999. The extent to which 3 models of Roll, Choi and CDP (Roll-based models) correctly estimate the actual BAS is examined. Effects on the Asian Economic Crisis on the spreads are also examined.
Final Year Project (FYP)
Nanyang Technological University