Spread Statistics

Average quoted spread, effective spread, and five second price impact for common stocks over last 60 days:
To download graph, click on the below link:
To access the latest statistics file, click on the below link:
Disclaimer:

These statistics are provided as a public service to academics and the practitioner community.  No warranty or support is provided.

Methodological details:

The tables are built from daily TAQ files using nanosecond precision. The sample consists of all common stocks and ETFs with valid data. For each security day the tables report:

  • The time-weighted average quoted bid-ask spread (NBBO) in basis points.
  • The dollar-weighted average effective spread in basis points.
  • The dollar-weighted average realized spread at the 1- and 5-second horizon.
  • The dollar-weighted average price impact at the 1- and 5-second horizon.

For further methodological details, see Conrad and Wahal (2020)

A market-wide average across common stocks and ETFs respectively is also provided, denoted Stock_Avg and ETF_Avg. The market-wide average is the cross-sectional average across securities, weighted by the dollar volume.

Useful references:

Conrad, Jennifer S., Jin Xiang, and Sunil Wahal, 2015, “High frequency quoting, trading and efficiency of prices”, Journal of Financial Economics 116, 271-291.

Conrad, Jennifer S., and Sunil Wahal, 2020, “The Term Structure of Liquidity Provision”, Journal of Financial Economics 136, 239-259.

Holden, C. and S. Jacobsen, 2014, “Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions”, Journal of Finance 69, 1747-1785.