The effects of spread on abnormal return: Evidence from Tehran Stock Exchange
Spread plays essential role on market liquidity on any stock market. A high gap between bid and ask price may reduce the likelihood of trading activities while a small gap between bid and ask increases the chance of trade execution. In this paper, we present an empirical investigation on the effect...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2015-08-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol5/msl_2015_70.pdf |
| _version_ | 1818669001433153536 |
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| author | Samira Vafaee Roya Darabi |
| author_facet | Samira Vafaee Roya Darabi |
| author_sort | Samira Vafaee |
| collection | DOAJ |
| description | Spread plays essential role on market liquidity on any stock market. A high gap between bid and ask price may reduce the likelihood of trading activities while a small gap between bid and ask increases the chance of trade execution. In this paper, we present an empirical investigation on the effect of spread on abnormal return. The proposed study collects the necessary information from official statements as well as historical data over the period 2009-2013 reported on Tehran Stock Exchange to examine the relationship between spread and unusual firm performance. Using regression analysis, the study has determined a meaningful relationship between abnormal return and spread. |
| first_indexed | 2024-12-17T06:45:16Z |
| format | Article |
| id | doaj.art-e8ac327884a04c56ba72dc45c3d47841 |
| institution | Directory Open Access Journal |
| issn | 1923-9335 1923-9343 |
| language | English |
| last_indexed | 2024-12-17T06:45:16Z |
| publishDate | 2015-08-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-e8ac327884a04c56ba72dc45c3d478412022-12-21T21:59:45ZengGrowing ScienceManagement Science Letters1923-93351923-93432015-08-015873974210.5267/j.msl.2015.6.004The effects of spread on abnormal return: Evidence from Tehran Stock ExchangeSamira Vafaee Roya DarabiSpread plays essential role on market liquidity on any stock market. A high gap between bid and ask price may reduce the likelihood of trading activities while a small gap between bid and ask increases the chance of trade execution. In this paper, we present an empirical investigation on the effect of spread on abnormal return. The proposed study collects the necessary information from official statements as well as historical data over the period 2009-2013 reported on Tehran Stock Exchange to examine the relationship between spread and unusual firm performance. Using regression analysis, the study has determined a meaningful relationship between abnormal return and spread.http://www.growingscience.com/msl/Vol5/msl_2015_70.pdfTehran Stock ExchangeSpreadStock return |
| spellingShingle | Samira Vafaee Roya Darabi The effects of spread on abnormal return: Evidence from Tehran Stock Exchange Management Science Letters Tehran Stock Exchange Spread Stock return |
| title | The effects of spread on abnormal return: Evidence from Tehran Stock Exchange |
| title_full | The effects of spread on abnormal return: Evidence from Tehran Stock Exchange |
| title_fullStr | The effects of spread on abnormal return: Evidence from Tehran Stock Exchange |
| title_full_unstemmed | The effects of spread on abnormal return: Evidence from Tehran Stock Exchange |
| title_short | The effects of spread on abnormal return: Evidence from Tehran Stock Exchange |
| title_sort | effects of spread on abnormal return evidence from tehran stock exchange |
| topic | Tehran Stock Exchange Spread Stock return |
| url | http://www.growingscience.com/msl/Vol5/msl_2015_70.pdf |
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