Average Spread Across the Sample of TWSE Taiwan 50 Index 

  to be Calculated in Following Four Steps¡G

¡@

Step 1¡GCalculation of average spread for each trade in a single stock

  
of which;

s is average spread

p is trade price

mp is mid-price = (bid + ask) / 2  
  

Step 2¡GCalculation of average spread across all trades in this stock 

  
of which; is the average % spread for stock t
is the money value of the ith trade in stock t 
is the % average spread for the ith trade in stock t
is the total value of trades in stock t.  
  

Step 3¡GCalculation of average spread across the sample of TWSE Taiwan 50 Index on this day 

 
of which; is the average spread across the sample of TWSE Taiwan 50 Index on this day
is the sum trading across the sample of TWSE Taiwan 50 Index on this day
  

Step 4¡GCalculation of average spread across the sample of TWSE Taiwan 50 Index in this month

  
of which; is the average spread across the sample of TWSE Taiwan 50 Index in this month
* is the sum trading across the sample of TWSE Taiwan 50 Index in this month