An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market
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...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Warsaw
2017-05-01
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| Series: | Journal of Banking and Financial Economics |
| Subjects: | |
| Online Access: | https://press.wz.uw.edu.pl/cgi/viewcontent.cgi?article=1070&context=jbfe |
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| Summary: | 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. |
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| ISSN: | 2353-6845 |