IDEAS home Printed from
   My bibliography  Save this paper

The performance of bid-ask spread estimators under less than ideal conditions


  • Michael Bleaney
  • Zhiyong Li


The performance of bid-ask spread estimators is investigated using simulation experiments. All estimators are much more accurate if the data are sampled at high frequency. In high-frequency data, the Huang-Stoll estimator, which requires order flow information, generally outperforms Roll-type estimators based on price information only. The exception is when there is feedback trading (order flows respond to past price movements), when the Huang-Stoll estimator is seriously biased. When only low-frequency (e.g. daily) data are available, the Corwin-Schultz estimator based on daily high and low prices is usually less inaccurate than the Huang-Stoll and Roll estimators. An important and empirically relevant exception is when the spread varies within the day; in this case the Corwin-Schultz estimator significantly overestimates the true spread. For a published version, please see Studies in Economics and Finance, Vol. 32 (2015).

Suggested Citation

  • 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.
  • Handle: RePEc:not:notecp:13/05

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. 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.
    3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    4. Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. repec:eee:econom:v:200:y:2017:i:2:p:312-325 is not listed on IDEAS
    2. 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.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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:not:notecp:13/05. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: .

    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 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.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.