Economics at your fingertips  

An estimation of cost-based market liquidity from daily high, low and close prices

Una estimación de la liquidez de mercado basada en los costes a partir de los precios máximo, mínimo y de cierre

Jawad Saleemi ()
Additional contact information
Jawad Saleemi: University of Gujrat, UPV - Universitat Politècnica de València = Universitad Politecnica de Valencia = Polytechnic University of Valencia

Post-Print from HAL

Abstract: In the literature of asset pricing, this paper introduces a new method to estimate the cost-based market liquidity (CBML), that is, the bid-ask spread. The proposed model of spread proxy positively correlates with the examined low-frequency spread proxies for a larger dataset. The introduced approach provides potential implications in important aspects. Unlike in the Roll bid-ask spread model and the CHL bid-ask estimator, the CBML model consistently estimates market liquidity and trading cost for the entire dataset. Additionally, the CBML estimator steadily measures positive spreads, unlike in the CS bid-ask spread model. The construction of the proposed approach is not computationally intensive and can be considered for distinct studies at both market and firm levels.

Keywords: Market Microstructure; Asset Pricing; Bid-Ask Spread; Market Liquidity; Trading Cost; Microestructura del mercado; Fijación de precios de activos; Diferencial de oferta y demanda; Liquidez del mercado; Coste de negociación (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server:
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Finance, Markets and Valuation, 2020, 6 (2), pp.1-11. ⟨10.46503/VUTL1758⟩

Downloads: (external link) (application/pdf)

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:

DOI: 10.46503/VUTL1758

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2023-09-12
Handle: RePEc:hal:journl:hal-03149324