Trading in securities markets (using Stata)

Details/Description: Using data downloaded from CRSP/Compustat, examine the relationship between the bid- ask spread (proxied by the quoted spread and Roll’s spread) and other variables which you believe may affect the bid-ask spread. Support your choice using relevant research material from the finance and economics literature. The literature review should precede your empirical analysis in the report (see below). - all the stocks were taken from the bank's industry. - we should get the ask-bid spread and explain it. -we should explain how the variables affected the spread (like volume, stock price, volatility) by calculation from our data (using stata software).[login to view URL] - we should run regression for both quoted spread and roll spread. (an example on the third video) - and do the other requirements that needed as the following Notes: • 1) The empirical analysis should be implemented using the statistical package STATA. • 2) You should briefly discuss data availability issues (if any) for variables that may potentially affect the bid-ask spread, but for which there are no data on CRSP/Compustat. • 3) You should briefly describe the features of the trading mechanism for the stocks chosen. • 4) You can choose to download data for as many stocks as you want, and for as many days as you want. • 5) Your empirical analysis should be based on a multiple regression framework. You should discuss your results, for each variable chosen, in terms of: a. Sign of the coefficient; b. Statistical significance of the coefficient; c. Magnitude of the coefficient. REPORT SHOULD BE AS THE STRUCTURE 1. INTRODUCTION (200 words) 2. LITERATURE REVIEW (700 words) 3. EMPIRICAL ANALYSIS (600 words) References Tables Figures Deadline Thursday night