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PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME-SERIES, AND CROSS-SECTIONAL DATA

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  • Raymond Brooks
  • Jean Masson

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  • Raymond Brooks & Jean Masson, 1996. "PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME-SERIES, AND CROSS-SECTIONAL DATA," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 459-476, December.
    • Handle: RePEc:bla:jfnres:v:19:y:1996:i:4:p:459-476
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1996.tb00225.x
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    References listed on IDEAS

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    1. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 517-538.
    2. Affleck-Graves, John & Hegde, Shantaram P & Miller, Robert E, 1994. "Trading Mechanisms and the Components of the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 49(4), pages 1471-1488, September.
    3. Wei, Pei-Hwang, 1992. "Intraday Variations in Trading Activity, Price Variability, and the Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 265-276, Fall.
    4. 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.
    5. Pei-Hwang Wei, 1992. "Intraday Variations In Trading Activity, Price Variability, And The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 265-276, September.
    6. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
    7. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    8. Harris, Lawrence, 1990. "Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance, American Finance Association, vol. 45(2), pages 579-590, June.
    9. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
    10. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
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    Cited by:

    1. Menyah, Kojo & Paudyal, Krishna, 2000. "The components of bid-ask spreads on the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1767-1785, November.
    2. Hansch, Oliver, 2004. "The cross-sectional determinants of inventory control and the subtle effects of ADRs," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1915-1933, August.
    3. Dar-Hsin Chen & Lloyd P. Blenman, 2003. "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 2(1), pages 75-83, April.

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