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

100%
Kociński A. M.
Metody Ilościowe w Badaniach Ekonomicznych
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2014
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vol. 15
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issue 2
135-143
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
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