New bid-ask spread estimators from daily high and low prices
Zhiyong Li (),
Brendan Lambe and
International Review of Financial Analysis, 2018, vol. 60, issue C, 69-86
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:60:y:2018:i:c:p:69-86
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 Dana Niculescu ().