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XF-VU9WOJP-G
Research / Academic Paper ACTIVE

A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

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Abstract

ABSTRACT In an efficient market, the fundamental value of a security fluctuates randomly. However, trading costs induce negative serial dependence in successive observed market price changes. In fact, given market efficiency, the effective bid‐ask spread can be measured by where “cov” is the first‐order serial covariance of price changes. This implicit measure of the bid‐ask spread is derived formally and is shown empirically to be closely related to firm size.

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Document Metadata

Issuer
JSTOR
Document Type
Research / Academic Paper
Publication Year
1984
Retrieved
5 May 2026
Source
doi.org
Record ID
XFVU9WOJPG
Validation
Inferred by XFID

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406302a046e01f8de2abe48d02545199a04115f471fee92c7659c8c1c60b19c4
SHA-256 (canonical content)
406302a046e01f8de2abe48d02545199a04115f471fee92c7659c8c1c60b19c4

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JSTOR (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. XFID: XF-VU9WOJP-G. Retrieved from https://xframework.id/XFVU9WOJPG
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XF-VU9WOJP-G