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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63775

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63775

    Title: Fractional High-Low Estimator of Bid-Ask Spread
    Authors: Lin, Chien-Chih
    Contributors: Tamkang University
    Keywords: High-low spread estimator;Roll estimator;estimation accuracy;effective spread.
    Date: 2013
    Issue Date: 2013-08-07 09:35:48 (UTC+8)
    Publisher: Tamkang University
    Abstract: Using low-frequency data, the high-low spread estimator performs significantly better
    than the Roll covariance estimator. This paper expands upon this study to explore
    several unanswered issues. Why does the high-low spread estimator outperform the
    Roll estimator when low-frequency data is employed, and how is the performance of
    the high-low spread estimator computed from high-frequency data? Is it still better
    than the Roll estimator? To shed light on these questions, a trading day is divided into
    several intraday periods to create a greater number of high-low ratios in order to
    develop a spread estimator, which is referred to as a fractional high-low spread
    estimator. Analysis indicated that the fractional high-low spread estimators have
    better performance when the true spread is even wider, when the frequency of
    transaction prices becomes even higher, when price volatility is relatively lower, and
    when asset prices tend to reverse. Moreover, the fractional high-low spread estimator
    broadly outperforms the Roll estimator when estimators are computed from a dataset
    with the length of an intraday period longer than 30 minutes. In contrast, the Roll
    estimator generally surpasses the fractional high-low spread estimator, when the
    length of the intraday period is shorter than 20 minutes.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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