Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
作者:
HANS R. STOLL,
期刊:
The Journal of Finance
(WILEY Available online 1989)
卷期:
Volume 44,
issue 1
页码: 115-134
ISSN:0022-1082
年代: 1989
DOI:10.1111/j.1540-6261.1989.tb02407.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThe relation between the square of the quoted bid‐ask spread and two serial covariances—the serial covariance of transaction returns and the serial covariance of quoted returns—is modeled as a function of the probability of a price reversal, π, and the magnitude of a price change, ∂, where ∂ is stated as a fraction of the quoted spread. Different models of the spread are contrasted in terms of the parameters, π and ∂. Using data on the transaction prices and price quotations for NASDAQ/NMS stocks, π and ∂ are estimated and the relative importance of the components of the quoted spread—adverse information costs, order processing costs, and inventory holding c
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