Stats › Intraday and market microstructure › Spreads by market cap
The relative quoted spread is 35 times wider in the smallest listed companies than in the largest
| Market value tier | Mean quoted, cents | Mean relative quoted | Mean effective, cents | Mean relative effective |
|---|---|---|---|---|
| Below 100 m | 40.54 | 2.828% | 21.07 | 1.499% |
| 100 to 250 m | 15.15 | 1.033% | 9.15 | 0.625% |
| 250 to 500 m | 6.60 | 0.441% | 3.98 | 0.267% |
| 500 m to 1 bn | 3.40 | 0.221% | 2.12 | 0.139% |
| 1 to 2 bn | 1.79 | 0.117% | 1.32 | 0.088% |
| 2 to 5 bn | 1.25 | 0.081% | 1.13 | 0.074% |
Every trading day in 2013, US equities priced between ten and twenty dollars, from consolidated trade and quote files with microsecond timestamps. About 2,814 stocks a day. The paper reports no statistical significance tests at all: these are tabulated means and medians with no confidence intervals and no hypothesis tests.
Across every US trading day in 2013, the relative quoted spread in the ten to twenty dollar price band runs from 2.83 per cent below a hundred million dollars of market value down to 0.08 per cent above two billion.
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