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Estimating the effective BID/ASK spread from time and sales data

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  • Tom Smith
  • Robert E. Whaley

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  • Tom Smith & Robert E. Whaley, 1994. "Estimating the effective BID/ASK spread from time and sales data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 437-455, June.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:4:p:437-455
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    Cited by:

    1. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
    2. Iman Adeinat & Naseem Al Rahahleh & Peihwang Wei, 2018. "Did crisis alter trading of two major oil futures markets?," Review of Derivatives Research, Springer, vol. 21(1), pages 45-61, April.
    3. Martin ZIEGELBAECK & Guenther BREUER, 2014. "The role of market makers in the Euronext milling wheat contract," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 60(4), pages 183-187.
    4. Araújo, Gustavo Silva & Barbedo, Claudio Henrique da S. & Vicente, José Valentim M., 2014. "The adverse selection cost component of the spread of Brazilian stocks," Emerging Markets Review, Elsevier, vol. 21(C), pages 21-41.
    5. Samarth Shah & B. Wade Brorsen, 2013. "Are liquidity costs higher in options markets or in futures markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 701-708, April.
    6. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
    7. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.

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