Determinants of bid/ask spread in an emerging African stock market A dynamic panel data framework

By:

SEETANAH, BOOPEN

Contributor(s):

ROJID, SAWKUT

Material type:

Mixed materialsPublication details: 2013Description: 803-816Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: FINANCE INDIAMSummary: This paper investigates the determinants of the bid-ask spread on the stock exchange of Mauritius using the dynamic generalised methods of moments (GMM) panel data techinques. Specifying a spread equation and using data for the 38 companies listedon the SEM over the period 4th January to 30th April 2009. We found that the bid ask spread is determined by itslagged and is thus of a dynamic nature, adjusting to a target.

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Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		26/3	Available		P14686

This paper investigates the determinants of the bid-ask spread on the stock exchange of Mauritius using the dynamic generalised methods of moments (GMM) panel data techinques. Specifying a spread equation and using data for the 38 companies listedon the SEM over the period 4th January to 30th April 2009. We found that the bid ask spread is determined by itslagged and is thus of a dynamic nature, adjusting to a target.

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