NO.PZ2021101401000037
问题如下:
Johnson discusses a market buy order for 5,000 shares of an illiquid stock. The order was filled in three trades, and details about the three trades are presented in Exhibit 2.
Based on Exhibit 2, the average effective spread of the three trades is closest to:
选项:
A.$0.0333.
$0.0367.
$0.0400.
解释:
C is correct. The effective bid–ask spread for buy orders is calculated as:
Effective bid–ask spread (buy order) = 2 × {Trade price – [(Ask price +Bid price) / 2)]} or
= 2 × (Trade price – Midpoint of the market at the time an order is entered).
So, the effective bid–ask spreads for the three buy trades are calculated as:
Effective spread of Trade 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300.
Effective spread of Trade 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300.
Effective spread of Trade 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600.
The resulting average effective spread is then calculated as:
Average effective spread = (Effective spread of Trade 1 + Effective spread of Trade 2 + Effective spread of Trade 3)/3.
Average effective spread = ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400.
这些不用考虑每个交易的比重吗?每个交易占5000的不同比重