| Abstract [eng] |
Nine types of stock were chosen to analyse quoted bid-ask spread of Vilnius Stock Exchange. According to the value and number of transactions of the stock, it can be divided into three groups: non-liquid, half-liquid and liquid stock. Public market depth information and data of trade was taken from Vilnius Stock Exchange website http://www.baltic.omxgroup.com/ during the period from 25th February 2008 to 18th April 2008. In my work I have analysed inside bid-ask spread, effective spread and fixed prices. Roll measure was measured using trade prices of stock; stationarity of differences of trade prices were examined using reverse arrangement test. As had been expected, I came to conclusion that the stock market for chosen stocks is informationally inefficient. Due to this reason the Roll measure is not correct. By using C++ programming language the following programming tools were created: • Data reading from internet tool; • Data collection and correction tool; • Data analysis tool. |
