ON LOW-FREQUENCY ESTIMATION OF BID-ASK SPREAD IN THE STOCK MARKET
ON LOW-FREQUENCY ESTIMATION OF BID-ASK SPREAD IN THE STOCK MARKET
Author(s): Marek Andrzej KocińskiSubject(s): Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: high-frequency data; low-frequency data; Roll estimator; Corwin-Schultz estimator;
Summary/Abstract: In the article two popular low-frequency methods od bid-ask spread estimation are presented and applied to the stocks quoted on the Warsaw Stock Exchange (WSE): the Roll method [Roll 1984] and CorwinSchultz method [Corwin and Schultz 2012]. The widely available data on average spreads published by WSE are used as benchmark and proxy of information, usually received from difficult to access and limited high frequency financial data.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 2
- Page Range: 135-143
- Page Count: 9
- Language: English