New bid-ask spread estimators from daily high and low prices

Zhiyong Li, Brendan Lambe and Emmanuel Adegbite

International Review of Financial Analysis, 2018, vol. 60, issue C, 69-86

Abstract: Estimating trading costs in the absence of recorded data is a problem that continues to puzzle financial market researchers. We address this challenge by introducing two low frequency bid-ask spread estimators using daily high and low transaction prices.

Keywords: High-low spread estimator; Effective spread; Transaction cost; Market liquidity (search for similar items in EconPapers)
JEL-codes: C02 C13 C15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521918300589
Full text for ScienceDirect subscribers only

Related works:
Working Paper: New Bid-Ask Spread Estimators from Daily High and Low Prices (2017)
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:eee:finana:v:60:y:2018:i:c:p:69-86

DOI: 10.1016/j.irfa.2018.08.014

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().