کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960874 1478948 2014 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A simple approximation of intraday spreads using daily data
ترجمه فارسی عنوان
تقریبی ساده از گسترش روزانه با استفاده از داده های روزانه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data. We show that the CRSP-based spread is highly correlated with the TAQ-based spread across stocks using data from 1993 through 2009. The simple CRSP-based spread provides a better approximation of the TAQ-based spread than all other low-frequency liquidity measures in cross-sectional settings. However, the CRSP-based spread is highly correlated with the TAQ spread in time-series settings only for NASDAQ stocks. Overall, our results suggest that the simple CRSP-based spread could be used in lieu of the TAQ-based spread in academic research that focuses on cross-sectional analysis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 17, January 2014, Pages 94-120
نویسندگان
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