{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,21]],"date-time":"2025-10-21T03:28:09Z","timestamp":1761017289565},"reference-count":29,"publisher":"Springer Science and Business Media LLC","issue":"6","license":[{"start":{"date-parts":[[2019,12,1]],"date-time":"2019-12-01T00:00:00Z","timestamp":1575158400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2019,12,1]],"date-time":"2019-12-01T00:00:00Z","timestamp":1575158400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["J Syst Sci Complex"],"published-print":{"date-parts":[[2019,12]]},"DOI":"10.1007\/s11424-019-7364-4","type":"journal-article","created":{"date-parts":[[2019,12,14]],"date-time":"2019-12-14T12:05:02Z","timestamp":1576325102000},"page":"1693-1726","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["New Moment Estimators of the Effective Spread Based on Daily High and Low Prices"],"prefix":"10.1007","volume":"32","author":[{"given":"Yang","family":"Gao","sequence":"first","affiliation":[]},{"given":"Mingjin","family":"Wang","sequence":"additional","affiliation":[]},{"given":"Yaojun","family":"Wang","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2019,12,14]]},"reference":[{"issue":"6","key":"7364_CR1","doi-asserted-by":"publisher","first-page":"1315","DOI":"10.2307\/1913210","volume":"53","author":"A S Kyle","year":"1985","unstructured":"Kyle A S, Continuous auctions and insider trading, Econometrica, 1985, 53(6): 1315\u20131335.","journal-title":"Econometrica"},{"issue":"3","key":"7364_CR2","doi-asserted-by":"publisher","first-page":"269","DOI":"10.1016\/0304-405X(94)90034-5","volume":"35","author":"M A Petersen","year":"1994","unstructured":"Petersen M A and Fialkowski D, Posted versus effective spreads: good prices or bad quotes? Journal of Financial Economics, 1994, 35(3): 269\u2013292.","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"7364_CR3","doi-asserted-by":"publisher","first-page":"153","DOI":"10.1016\/j.jfineco.2008.06.002","volume":"92","author":"R Y Goyenko","year":"2009","unstructured":"Goyenko R Y, Holden C W, and Trzcinka C A, Do liquidity measures measure liquidity, Journal of financial Economics, 2009, 92(2): 153\u2013181.","journal-title":"Journal of financial Economics"},{"issue":"2","key":"7364_CR4","doi-asserted-by":"publisher","first-page":"599","DOI":"10.1093\/rfs\/hhr075","volume":"25","author":"B R Marshall","year":"2012","unstructured":"Marshall B R, Nguyen N H, and Visaltanachoti N, Commodity liquidity measurement and transaction costs, Review of Financial Studies, 2012, 25(2): 599\u2013638.","journal-title":"Review of Financial Studies"},{"issue":"11","key":"7364_CR5","doi-asserted-by":"publisher","first-page":"3073","DOI":"10.1093\/rfs\/hhv029","volume":"28","author":"N Karnaukh","year":"2015","unstructured":"Karnaukh N, Ranaldo A, and Soderlind P, Understanding FX liquidity, Review of Financial Studies, 2015, 28(11): 3073\u20133108.","journal-title":"Review of Financial Studies"},{"issue":"5","key":"7364_CR6","doi-asserted-by":"publisher","first-page":"1170","DOI":"10.1093\/rfs\/hhv132","volume":"29","author":"R Schestag","year":"2016","unstructured":"Schestag R, Schuster P, and Uhrig-Homburg M, Measuring liquidity in bond markets, Review of Financial Studies, 2016, 29(5): 1170\u20131219.","journal-title":"Review of Financial Studies"},{"issue":"4","key":"7364_CR7","doi-asserted-by":"publisher","first-page":"1355","DOI":"10.1093\/rof\/rfx003","volume":"21","author":"K Y L Fong","year":"2017","unstructured":"Fong K Y L, Holden C W, and Trzcinka C A, What are the best liquidity proxies for global research? Review of Finance, 2017, 21(4): 1355\u20131401.","journal-title":"Review of Finance"},{"key":"7364_CR8","first-page":"197","volume-title":"Journal of Financial and Quantitative Analysis","author":"A Ben-Rephael","year":"2015","unstructured":"Ben-Rephael A, Kadan O, and Wohl A, The diminishing liquidity premium, Journal of Financial and Quantitative Analysis, 2015, 50(1-2): 197\u2013229."},{"issue":"2","key":"7364_CR9","doi-asserted-by":"publisher","first-page":"350","DOI":"10.1016\/j.jfineco.2015.04.005","volume":"117","author":"Y Amihud","year":"2015","unstructured":"Amihud Y, Hameed A, Kang W, et al., The illiquidity premium: International evidence, Journal of Financial Economics, 2015, 117(2): 350\u2013368.","journal-title":"Journal of Financial Economics"},{"issue":"4","key":"7364_CR10","doi-asserted-by":"publisher","first-page":"1127","DOI":"10.1111\/j.1540-6261.1984.tb03897.x","volume":"39","author":"R A Roll","year":"1984","unstructured":"Roll R, A simple implicit measure of the effective bid-ask spread in an efficient market, The Journal of Finance, 1984, 39(4): 1127\u20131139.","journal-title":"The Journal of Finance"},{"issue":"2","key":"7364_CR11","doi-asserted-by":"publisher","first-page":"219","DOI":"10.2307\/2330882","volume":"23","author":"J Y Choi","year":"1988","unstructured":"Choi J Y, Salandro D, and Shastri K, On the estimation of bid-ask spreads: Theory and evidence, Journal of Financial and Quantitative Analysis, 1988, 23(2): 219\u2013230.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"2","key":"7364_CR12","doi-asserted-by":"publisher","first-page":"305","DOI":"10.1017\/S0022109000003082","volume":"39","author":"J Hasbrouck","year":"2004","unstructured":"Hasbrouck J, Liquidity in the futures pits: Inferring market dynamics from incomplete data, Journal of Financial and Quantitative Analysis, 2004, 39(2): 305\u2013326.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"3","key":"7364_CR13","doi-asserted-by":"publisher","first-page":"1445","DOI":"10.1111\/j.1540-6261.2009.01469.x","volume":"64","author":"J Hasbrouck","year":"2009","unstructured":"Hasbrouck J, Trading costs and returns for US equities: Estimating effective costs from daily data, The Journal of Finance, 2009, 64(3): 1445\u20131477.","journal-title":"The Journal of Finance"},{"issue":"1","key":"7364_CR14","doi-asserted-by":"publisher","first-page":"123","DOI":"10.1016\/0304-405X(88)90034-7","volume":"21","author":"L R Glosten","year":"1988","unstructured":"Glosten L R and Harris L E, Estimating the components of the bid and ask spread, Journal of financial Economics, 1988, 21(1): 123\u2013142.","journal-title":"Journal of financial Economics"},{"issue":"4","key":"7364_CR15","doi-asserted-by":"publisher","first-page":"1035","DOI":"10.1093\/rfs\/10.4.1035","volume":"10","author":"A Madhavan","year":"1997","unstructured":"Madhavan A, Richardson M, and Roomans M, Why do security prices change? A transaction-level analysis of NYSE stocks, The Review of Financial Studies, 1997, 10(4): 1035\u20131064.","journal-title":"The Review of Financial Studies"},{"issue":"4","key":"7364_CR16","doi-asserted-by":"publisher","first-page":"995","DOI":"10.1093\/rfs\/10.4.995","volume":"10","author":"R D Huang","year":"1997","unstructured":"Huang R D and Stoll H R, The components of the bid-ask spread: A general approach, Review of Financial Studies, 1997, 10(4): 995\u20131034.","journal-title":"Review of Financial Studies"},{"issue":"5","key":"7364_CR17","doi-asserted-by":"publisher","first-page":"1113","DOI":"10.1093\/rfs\/12.5.1113","volume":"12","author":"D A Lesmond","year":"1999","unstructured":"Lesmond D A, Ogden J P, and Trzcinka C A, A new estimate of transaction costs, Review of Financial Studies, 1999, 12(5): 1113\u20131141.","journal-title":"Review of Financial Studies"},{"issue":"4","key":"7364_CR18","doi-asserted-by":"publisher","first-page":"778","DOI":"10.1016\/j.finmar.2009.07.003","volume":"12","author":"C W Holden","year":"2009","unstructured":"Holden C W, New low-frequency spread measures, Journal of Financial Markets, 2009, 12(4): 778\u2013813.","journal-title":"Journal of Financial Markets"},{"issue":"2","key":"7364_CR19","doi-asserted-by":"publisher","first-page":"719","DOI":"10.1111\/j.1540-6261.2012.01729.x","volume":"67","author":"S A Corwin","year":"2012","unstructured":"Corwin S A and Schultz P, A simple way to estimate bid-ask spreads from daily high and low prices, The Journal of Finance, 2012, 67(2): 719\u2013760.","journal-title":"The Journal of Finance"},{"issue":"4","key":"7364_CR20","doi-asserted-by":"publisher","first-page":"617","DOI":"10.1162\/003465399558481","volume":"81","author":"A Gallant","year":"1999","unstructured":"Gallant A, Hsu R C, and Tauchen G, Using daily data to calibrate volatility diffusions and extract the forward integrated variance, Review of Economics and Statistics, 1999, 81(4): 617\u2013631.","journal-title":"Review of Economics and Statistics"},{"issue":"3","key":"7364_CR21","doi-asserted-by":"publisher","first-page":"1047","DOI":"10.1111\/1540-6261.00454","volume":"57","author":"S Alizadeh","year":"2002","unstructured":"Alizadeh S, Brandt M W, and Diebold F X, Range-based estimation of stochastic volatility models, The Journal of Finance, 2002, 57(3): 1047\u20131091.","journal-title":"The Journal of Finance"},{"issue":"3","key":"7364_CR22","doi-asserted-by":"publisher","first-page":"427","DOI":"10.1214\/aoms\/1177729589","volume":"22","author":"W Feller","year":"1951","unstructured":"Feller W, The asymptotic distribution of the range of sums of independent random variables, Annals of Mathematical Statistics, 1951, 22(3): 427\u2013432.","journal-title":"Annals of Mathematical Statistics"},{"issue":"1","key":"7364_CR23","doi-asserted-by":"publisher","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"M Parkinson","year":"1980","unstructured":"Parkinson M, The extreme value method for estimating the variance of the rate of return, Journal of Business, 1980, 53(1): 61\u201365.","journal-title":"Journal of Business"},{"key":"7364_CR24","volume-title":"Nondefault bond spread and market trading liquidity, Technical report","author":"S Han","year":"2007","unstructured":"Han S and Zhou H, Nondefault bond spread and market trading liquidity, Technical report, 2007."},{"issue":"1","key":"7364_CR25","doi-asserted-by":"publisher","first-page":"26","DOI":"10.3905\/JFI.2009.19.1.026","volume":"19","author":"X Pu","year":"2009","unstructured":"Pu X, Liquidity commonality across the bond and CDS markets, The Journal of Fixed Income, 2009, 19(1): 26\u201339.","journal-title":"The Journal of Fixed Income"},{"issue":"2","key":"7364_CR26","doi-asserted-by":"publisher","first-page":"32","DOI":"10.2469\/faj.v56.n2.2342","volume":"56","author":"G Hong","year":"2000","unstructured":"Hong G and Warga A, An empirical study of bond market transactions, Financial Analysts Journal, 2000, 56(2): 32\u201346.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"7364_CR27","doi-asserted-by":"publisher","first-page":"39","DOI":"10.3905\/jfi.2003.319345","volume":"13","author":"S Chakravarty","year":"2003","unstructured":"Chakravarty S and Sarkar A, Trading costs in three US bond markets, The Journal of Fixed Income, 2003, 13(1): 39\u201348.","journal-title":"The Journal of Fixed Income"},{"issue":"3","key":"7364_CR28","doi-asserted-by":"publisher","first-page":"471","DOI":"10.1016\/j.jfineco.2011.10.009","volume":"103","author":"J Dick-Nielsen","year":"2012","unstructured":"Dick-Nielsen J, Feldhtter P, and Lando D, Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics, 2012, 103(3): 471\u2013492.","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"7364_CR29","doi-asserted-by":"publisher","first-page":"677","DOI":"10.1111\/0022-1082.00341","volume":"56","author":"P Schultz","year":"2001","unstructured":"Schultz P, Corporate bond trading costs: A peek behind the curtain, The Journal of Finance, 2001, 56(2): 677\u2013698.","journal-title":"The Journal of Finance"}],"container-title":["Journal of Systems Science and Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-019-7364-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11424-019-7364-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-019-7364-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,12,13]],"date-time":"2020-12-13T00:04:50Z","timestamp":1607817890000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11424-019-7364-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,12]]},"references-count":29,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2019,12]]}},"alternative-id":["7364"],"URL":"https:\/\/doi.org\/10.1007\/s11424-019-7364-4","relation":{},"ISSN":["1009-6124","1559-7067"],"issn-type":[{"value":"1009-6124","type":"print"},{"value":"1559-7067","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,12]]},"assertion":[{"value":"2 November 2017","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"7 May 2018","order":2,"name":"revised","label":"Revised","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"14 December 2019","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}