A simple approximation of intraday spreads using daily data
Year of publication: |
2014
|
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Authors: | Chung, Kee H. ; Zhang, Hao |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 17.2014, p. 94-120
|
Subject: | Bid-ask spreads | TAQ | CRSP | Market liquidity | Information asymmetry | Low-frequency liquidity measures | Geld-Brief-Spanne | Bid-ask spread | Asymmetrische Information | Asymmetric information | Liquidität | Liquidity | Marktliquidität | Theorie | Theory | Wertpapierhandel | Securities trading | Handelsvolumen der Börse | Trading volume | Schätzung | Estimation | Messung | Measurement |
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