An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market
Journal Title: Journal of Banking and Financial Economics - Year 2017, Vol 1, Issue 7
Abstract
The purpose of this paper is to show that different methods for calculating the spread (Bid-Ask) and the methods for annualizing intra-day data affect the results of econometric models. To achieve our goal, we analyze different econometric models in the context of: i) the International Financial Reporting Standards (IFRS) adoption, ii) the reduction of information asymmetry due to new corporate governance standards, and iii) the ownership concentration that characterize the Chilean Capital Market. We test the quality of the information delivered to the market using two information disclosure indices (DIS and Botosan). We fi nd that the defi nition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical signifi cance of the variables of a specifi c model.
Authors and Affiliations
David Cademartori-Rosso, Berta Silva-Palavecinos, Ricardo Campos-Espinoza, Hanns de la Fuente-Mella
Keywords
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- EP ID EP298430
- DOI 10.7172/2353-6845.jbfe.2017.1.5
- Views 107
- Downloads 0
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