Chung, Kee H.; Zhang, Hao - In: Journal of Financial Markets 17 (2014) C, pp. 94-120
intraday TAQ data. We show that the CRSP-based spread is highly correlated with the TAQ-based spread across stocks using data … from 1993 through 2009. The simple CRSP-based spread provides a better approximation of the TAQ-based spread than all other … TAQ spread in time-series settings only for NASDAQ stocks. Overall, our results suggest that the simple CRSP-based spread …