On Low-Frequency Estimation of Bid-Ask Spread in the Stock Market

• Autorzy: Marek Andrzej Kociński
• Języki publikacji: EN

Abstrakty

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 highfrequency financial data. (original abstract)

Słowa kluczowe

EN

Stock exchange; Data analysis

PL

Giełda; Analiza danych

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2014
• Tom: 15(XV)
• Numer: nr 2
• Strony: 135--143

Twórcy

autor

Marek Andrzej Kociński

• Warsaw University of Life Sciences - SGGW, Poland

Bibliografia

• 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