AN IMPLICIT MEASURE OF THE EFFECTIVE BID‐ASK SPREAD: A NOTE

Carolyn W. Chang and Jack S. K. Chang

Journal of Financial Research, 1993, vol. 16, issue 1, 71-75

Abstract: We extend Roll's study of the effective bid‐ask spread in an efficient market environment by allowing for serially correlated order arrival and quote behavior. This extension results in a more general effective bid‐ask spread measure, which precludes imaginary spreads and includes Roll's measure as a special case when the serial correlation is zero. This new measure is related to the length of the measurement interval due to the serial correlation, and thus has the potential to explain the previously observed differential between weekly and daily derived spreads.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1475-6803.1993.tb00128.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:16:y:1993:i:1:p:71-75

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-2592

Access Statistics for this article

Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay

More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().