PL EN


2014 | 15 | 2 | 135-143
Article title

ON LOW-FREQUENCY ESTIMATION OF BID-ASK SPREAD IN THE STOCK MARKET

Content
Title variants
Languages of publication
EN
Abstracts
EN
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 Corwin-Schultz 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
Year
Volume
15
Issue
2
Pages
135-143
Physical description
Dates
published
2014
Contributors
  • Department of Applied Mathematics Warsaw University of Life Sciences – SGGW
References
  • Anand A., Karagozoglu A. K. (2006) Relative performance of bid–ask spread estimators: Futures market evidence, International Financial Markets, Institutions and Money, 16, pp. 231 – 245.
  • Bleaney M., Li Z. (2013) The performance of bid-ask spread estimators under less than ideal condition,
  • http://www.nottingham.ac.uk/economics/documents/discussion-papers/13-05.pdf
  • Bleaney M., Li Z. (2014) A new spread estimator, http://www.nottingham.ac.uk/economics/documents/discussion-papers/14-01.pdf
  • Corwin S. A., Schultz P. (2012) A Simple Way to Estimate Bid-Ask Spreads from daily High and Low Prices, Journal of Finance, 67, pp. 719 – 759.
  • Doman M. (2011) Mikrostruktura giełd papierów wartościowych, Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu, Poznań
  • Elton E. J, Gruber M. J, Brown S. J., Goetzmann W. N. (2010) Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, Hoboken.
  • Gniadkowska A. (2012) Wpływ płynności obrotu na kształtowanie się stopy zwrotu z akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie, Zarządzanie i Finanse, 10, pp. 563 – 570.
  • Goyenko R. Y., Holden C. W., Trzcinka C. A. (2009) Do liquidity measures measure liquidity?, Journal of Financial Economics, 92, pp. 153 – 181.
  • Grinold R. C., Kahn R. N. (2000) Active Portfolio Management, McGraw-Hill, New York.
  • Holden C. (2009) New low-frequency spread measures, Journal of Financial Markets, 12, pp. 778 – 813.
  • Karnaukh N., Ranaldo A., Söderlind Paul (2014) Understanding FX Liquidity, http://www1.vwa.unisg.ch/RePEc/usg/sfwpfi/WPF-1315.pdf
  • Olbryś J. (2012) Tarcie w procesach transakcyjnych i jego konsekwencje, Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 254, pp. 181–189.
  • Roll R. (1984) A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance, 39, pp. 1127–1139.
  • Sharpe W. F., Alexander G., J., Bailey J. V. (1999) Investments Prentice Hall, Upper Saddle River.
  • WSE Statistics Bulletin, http://www.gpw.pl/pub/statystyki_roczne/2013_GPW.pdf
  • Zhang H., Hodges S. (2012) An Extended Model of Effective Bid-ask Spread, http://www.cass.city.ac.uk/__data/assets/pdf_file/0007/128068/H.Zhang.pdf
  • Zivot E. (2005) Analysis of High Frequency Financial Data: Models, Methods and Software. Part I: Descriptive Analysis of High Frequency Financial Data with S-PLUS, http://faculty.washington.edu/ezivot/research/hflectures.pdf
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-07761476-36fd-4d38-b53d-f11c958be408
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.