n African Journal of Business and Economic Research - Bid-ask spread : evidence from the Mauritian equity market

Volume 3, Issue 2_3
  • ISSN : 1750-4554
  • E-ISSN: 1750-4562


This study analyses the daily bid-ask spread for twelve companies on the Stock Exchange of Mauritius (SEM) for a period of 17 weeks to see the effects of several determinants such as closing price of the stock, daily volume traded, the level of market activity and the return on the stock. The main results show that most companies' spreads are influenced by their daily prices and the level of market prices. Furthermore, results from the panel data regression shows that firm size and liquidity are important considerations when determining the bid-ask spread. Finally, a Thursday effect was noted when considering the relationship between day of week effect and daily bid-ask spread.

Loading full text...

Full text loading...


Article metrics loading...


This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error