IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v7y1997i6p605-610.html
   My bibliography  Save this article

Estimation of the bid/ask spread on Danish stocks, an evaluation of Roll's estimator

Author

Listed:
  • Ken Nyholm

Abstract

This paper presents the first empirical study of the bid/ask spread based on intra-daily transactions data from the Danish stock market. The technique developed by Roll (1984) for inferring the bid/ask spread is implemented and evaluated on samples of data from January, February and March 1993. In particular, since quoted spreads are available, it is possible to make a direct evaluation of the Roll estimator. The conclusion of the paper is twofold. First, the Roll estimator captures a large part of the actual quoted spread. Secondly, the average Danish bid/ask spread is larger than the 0.3% presented by Roll for the US market.

Suggested Citation

  • Ken Nyholm, 1997. "Estimation of the bid/ask spread on Danish stocks, an evaluation of Roll's estimator," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 605-610.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:605-610
    DOI: 10.1080/758533852
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/758533852
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/758533852?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. K. Nyholm, 1999. "Estimation of the effective bid-ask spread on high frequency Danish bond data," The European Journal of Finance, Taylor & Francis Journals, vol. 5(2), pages 109-122.
    2. Michello, Franklin A., 2001. "Structural change and the bid-ask spread: evidence from the Johannesburg Stock Exchange (JSE)," Emerging Markets Review, Elsevier, vol. 2(3), pages 280-291, September.
    3. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:7:y:1997:i:6:p:605-610. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.