The performance of bid-ask spread estimators under less than ideal conditions
Author
Abstract
Suggested Citation
DOI: 10.1108/SEF-04-2014-0075
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Michael Bleaney & Zhiyong Li, 2013. "The performance of bid-ask spread estimators under less than ideal conditions," Discussion Papers 13/05, University of Nottingham, School of Economics.
References listed on IDEAS
- Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- Hasbrouck, Joel, 2004. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 305-326, June.
- Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-134, March.
- Ho, Thomas & Stoll, Hans R., 1981.
"Optimal dealer pricing under transactions and return uncertainty,"
Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
- Thomas Ho & Hans Stoll, "undated". "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Michael Bleaney & Zhiyong Li, 2016.
"A new spread estimator,"
Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 179-211, July.
- Michael Bleaney & Zhiyong Li, 2014. "A New Spread Estimator," Discussion Papers 14/01, University of Nottingham, School of Economics.
- Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
- Chen, Xiaohong & Linton, Oliver & Yi, Yanping, 2017. "Semiparametric identification of the bid–ask spread in extended Roll models," Journal of Econometrics, Elsevier, vol. 200(2), pages 312-325.
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018.
"New bid-ask spread estimators from daily high and low prices,"
International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.
- Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016.
"Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model,"
Cowles Foundation Discussion Papers
2033, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cambridge Working Papers in Economics 1620, Faculty of Economics, University of Cambridge.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers CWP12/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michael Bleaney & Zhiyong Li, 2016.
"A new spread estimator,"
Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 179-211, July.
- Michael Bleaney & Zhiyong Li, 2014. "A New Spread Estimator," Discussion Papers 14/01, University of Nottingham, School of Economics.
- Daniella Acker & Mathew Stalker & Ian Tonks, 2002.
"Daily Closing Inside Spreads and Trading Volumes Around Earnings Announcements,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(9‐10), pages 1149-1179.
- Ian Tonks & Daniella Acker & Matthew Stalker, 2002. "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers dp404, Financial Markets Group.
- Acker, Daniella & Stalker, Mathew & Tonks, Ian, 2002. "Daily closing inside spreads and trading volumes around earnings announcements," LSE Research Online Documents on Economics 24908, London School of Economics and Political Science, LSE Library.
- Koopman, S.J.M. & Lai, H.N., 1998.
"Modelling bid-ask spreads in competitive dealership markets,"
Other publications TiSEM
7a193911-dbf2-4831-ac8d-9, Tilburg University, School of Economics and Management.
- Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
- Flannery, Mark J. & Kwan, Simon H. & Nimalendran, M., 2004.
"Market evidence on the opaqueness of banking firms' assets,"
Journal of Financial Economics, Elsevier, vol. 71(3), pages 419-460, March.
- Mark J. Flannery & Simon H. Kwan & Mahendrarajah Nimalendran, 1997. "Market evidence on the opaqueness of banking firms' assets," Proceedings 560, Federal Reserve Bank of Chicago.
- Mark J. Flannery & Simon H. Kwan & Mahendrarajah Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco.
- Thomas Johann & Erik Theissen, 2013. "Liquidity measures," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 10, pages 238-255, Edward Elgar Publishing.
- Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014.
"The timeline of trading frictions in the European carbon market,"
Energy Economics, Elsevier, vol. 42(C), pages 378-394.
- Vicente Medina Martínez & Ángel Pardo Tornero & Roberto Pascual, 2012. "The timeline of trading fricions in the European Carbon Market," Working Papers. Serie AD 2012-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Jun (Tony) Ruan & Tongshu Ma, 2017. "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 385-436, June.
- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Escribano, Álvaro & Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005.
"Market microstructure: A survey of microfoundations, empirical results, and policy implications,"
Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
- Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
- Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
- Black, Jeffrey R. & Stock, Duane & Yadav, Pradeep K., 2016. "The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 119-132.
- Richard K. Lyons, 2002.
"Foreign exchange: macro puzzles, micro tools,"
Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
- Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
- Michael Frömmel & Frederick Van Gysegem, 2012.
"Spread Components in the Hungarian Forint-Euro Market,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 52-69, May.
- Frederick Van Gysegem & Michael Frömmel, 2011. "Spread Components in the Hungarian Forint-Euro Market," 2011 Meeting Papers 1260, Society for Economic Dynamics.
- M. Frömmel & F. Van Gysegem, 2011. "Spread Components in the Hungarian Forint-Euro Market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/709, Ghent University, Faculty of Economics and Business Administration.
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992.
"An ordered probit analysis of transaction stock prices,"
Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers 26-91, Wharton School - Weiss Center for International Financial Research.
- Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc.
More about this item
Keywords
Bid-ask spread; Feedback trading; Estimation; G10;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:sefpps:v:32:y:2015:i:1:p:98-127. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.