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Relative performance of bid-ask spread estimators: Futures market evidence

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  • Anand, Amber
  • Karagozoglu, Ahmet K.

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  • Anand, Amber & Karagozoglu, Ahmet K., 2006. "Relative performance of bid-ask spread estimators: Futures market evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 231-245, July.
    • Handle: RePEc:eee:intfin:v:16:y:2006:i:3:p:231-245
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    7. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
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    11. Peter R. Locke & P. C. Venkatesh, 1997. "Futures market transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(2), pages 229-245, April.
    12. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    13. Manaster, Steven & Mann, Steven C, 1996. "Life in the Pits: Competitive Market Making and Inventory Control," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 953-975.
    14. Karagozoglu, Ahmet K & Martell, Terrence F, 1999. "Changing the Size of a Futures Contract: Liquidity and Microstructure Effects," The Financial Review, Eastern Finance Association, vol. 34(4), pages 75-94, November.
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    Cited by:

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    2. Marek Andrzej Kocinski, 2021. "The Analysis of Some Trading Strategy on the Stock Market with the Liquidity Shortage," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 273-286.

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