Zhiyong Li

University of Leicester

University Road

Leicester, LE1 7RH

United Kingdom

  • University of Leicester

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New Bid-Ask Spread Estimators from Daily High and Low Prices

Number of pages: 66 Posted: 13 May 2017 Last Revised: 22 Aug 2018
Zhiyong Li, Brendan John Lambe and Emmanuel Adegbite
University of Leicester, University of Leicester and University of Nottingham
Downloads 313 (134,816)

Abstract:

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High-Low Spread Estimator, Effective Spread, Transaction Cost, Market Liquidity