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Bid-Ask Spread Modelling in the South African Bond Market
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 aga...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2019
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| _version_ | 1867613254087344128 |
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| access_status_str | Open Access |
| author | Shaw, Matthew |
| author2 | Mohamed, Obeid |
| author_browse | Mohamed, Obeid Shaw, Matthew |
| author_facet | Mohamed, Obeid Shaw, Matthew |
| author_sort | Shaw, Matthew |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29480 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:12.104Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | African Institute of Financial Markets and Risk Management |
| publisherStr | African Institute of Financial Markets and Risk Management |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/29480 Bid-Ask Spread Modelling in the South African Bond Market Shaw, Matthew Mohamed, Obeid Taylor, David Mathematical Finance 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. 2019-02-11T13:31:52Z 2019-02-11T13:31:52Z 2018 2019-02-11T10:16:11Z Master Thesis Masters MPhil http://hdl.handle.net/11427/29480 eng application/pdf African Institute of Financial Markets and Risk Management Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Shaw, Matthew Bid-Ask Spread Modelling in the South African Bond Market |
| thesis_degree_str | Master's |
| title | Bid-Ask Spread Modelling in the South African Bond Market |
| title_full | Bid-Ask Spread Modelling in the South African Bond Market |
| title_fullStr | Bid-Ask Spread Modelling in the South African Bond Market |
| title_full_unstemmed | Bid-Ask Spread Modelling in the South African Bond Market |
| title_short | Bid-Ask Spread Modelling in the South African Bond Market |
| title_sort | bid ask spread modelling in the south african bond market |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/29480 |
| work_keys_str_mv | AT shawmatthew bidaskspreadmodellinginthesouthafricanbondmarket |