This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the autho...This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the authors theoretically investigate the statistical properties of six simple High-Low spread estimators including Corwin and Schultz's estimator.The biases and mean squared errors(MSE)of these six estimators have been derived and compared with each other asymptotically,which,together with the subsequent simulation study,reveal explicitly the superior performance of newly developed High-Low estimators over Corwin and Schultz's estimator in both ideal and nonideal conditions.Moreover,this paper also develops GMM est imators construe ted by t hree or more moment conditions and compares with the six simple High-Low estimators.Finally,several example applications on the U.S.and Chinese financial markets are conducted to demonstrate the superior performance of the new High-Low estimators.The results provide alternative choices for identifying the liquidity proxies that well capture different structure of markets.展开更多
基金国家自然科学基金(21878026)工信部环保安全技术服务平台项目(2020-0107-3-1)+3 种基金2021年江苏省科技副总项目(FZ20211438)2021年江苏省研究生工作站项目(2021-187)常州市重点研发计划(CE20205051)Natural Science Foundation of Jiangsu Education Departement(1020220949)。
基金supported by the National Natural Science Foundation of China under Grant Nos.61603010,61603011,61773029Beijing Social Science Research Base Foundation under Grant No.17JDGLB018
文摘This paper proposes five new simple moment estimators of the effective spread based on the covariance estimator of Roll(1984)and the High-Low estimator recently developed by Corwin and Schultz(2012).And then the authors theoretically investigate the statistical properties of six simple High-Low spread estimators including Corwin and Schultz's estimator.The biases and mean squared errors(MSE)of these six estimators have been derived and compared with each other asymptotically,which,together with the subsequent simulation study,reveal explicitly the superior performance of newly developed High-Low estimators over Corwin and Schultz's estimator in both ideal and nonideal conditions.Moreover,this paper also develops GMM est imators construe ted by t hree or more moment conditions and compares with the six simple High-Low estimators.Finally,several example applications on the U.S.and Chinese financial markets are conducted to demonstrate the superior performance of the new High-Low estimators.The results provide alternative choices for identifying the liquidity proxies that well capture different structure of markets.
