Bid-Ask Spread Modelling in the South African Bond Market
| dc.contributor.advisor | Mohamed, Obeid | |
| dc.contributor.advisor | Taylor, David | |
| dc.contributor.author | Shaw, Matthew | |
| dc.date.accessioned | 2019-02-11T13:31:52Z | |
| dc.date.available | 2019-02-11T13:31:52Z | |
| dc.date.issued | 2018 | |
| dc.date.updated | 2019-02-11T10:16:11Z | |
| dc.description.abstract | Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both models by comparing the modelled equity spread estimates against the actual equity spread estimates. Furthermore, this dissertation investigates the stability of the De Jong and Rindi (2009) and Huang and Stoll (1997) models in the bond market by extending the spread estimate dataset to run annually over 5 years. The final section of this dissertation proposes a new method of estimating the bond spread through the use of a Kalman filter, as it can be used to leverage information from an onscreen market (albeit a different market) to imply bid-ask spread estimates in an off-screen market. The results indicate that the Huang and Stoll (1997) model consistently outperforms the De Jong and Rindi (2009) model. Furthermore, the yield estimate results of Pitsillis and Taylor (2014) align with the results obtained in this dissertation. The spread estimate results are stable over the 5-year period, indicating a strong provision of liquidity by the Primary Dealers. | |
| dc.identifier.apacitation | Shaw, M. (2018). <i>Bid-Ask Spread Modelling in the South African Bond Market</i>. (). University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/29480 | en_ZA |
| dc.identifier.chicagocitation | Shaw, Matthew. <i>"Bid-Ask Spread Modelling in the South African Bond Market."</i> ., University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018. http://hdl.handle.net/11427/29480 | en_ZA |
| dc.identifier.citation | Shaw, M. 2018. Bid-Ask Spread Modelling in the South African Bond Market. University of Cape Town. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Shaw, Matthew AB - Pitsillis and Taylor (2014) calculate bid-ask spread estimates of South African government bonds over a single year, using the models of De Jong and Rindi (2009) and Huang and Stoll (1997). This dissertation tests the effectiveness of both models by comparing the modelled equity spread estimates against the actual equity spread estimates. Furthermore, this dissertation investigates the stability of the De Jong and Rindi (2009) and Huang and Stoll (1997) models in the bond market by extending the spread estimate dataset to run annually over 5 years. The final section of this dissertation proposes a new method of estimating the bond spread through the use of a Kalman filter, as it can be used to leverage information from an onscreen market (albeit a different market) to imply bid-ask spread estimates in an off-screen market. The results indicate that the Huang and Stoll (1997) model consistently outperforms the De Jong and Rindi (2009) model. Furthermore, the yield estimate results of Pitsillis and Taylor (2014) align with the results obtained in this dissertation. The spread estimate results are stable over the 5-year period, indicating a strong provision of liquidity by the Primary Dealers. DA - 2018 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2018 T1 - Bid-Ask Spread Modelling in the South African Bond Market TI - Bid-Ask Spread Modelling in the South African Bond Market UR - http://hdl.handle.net/11427/29480 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/29480 | |
| dc.identifier.vancouvercitation | Shaw M. Bid-Ask Spread Modelling in the South African Bond Market. []. University of Cape Town ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2018 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/29480 | en_ZA |
| dc.language.iso | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.publisher.institution | University of Cape Town | |
| dc.subject.other | Mathematical Finance | |
| dc.title | Bid-Ask Spread Modelling in the South African Bond Market | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |