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Information asymmetries are an importantelement in the functioning of capital markets. An indirect means of measuringinformation asymmetry is through the spread of stock prices. The purpose ofthis paper is to identify the explanatory variables and the determinants of thebid-ask spread and to quantify the influence that the actors involved in thebrokering of publically offered securities may have over the spread. Themethodology used to model the time series for each of the analyzed companies isbased on a time series from each of the observed econometric multivariateprocesses. The analysis shows a significantly negative relationship between thespread and the market-maker size, calculated in terms of both the equity andthe stock portfolio; likewise, activity is measured by observing the amountoffered for purchase and-or sale.

KEYWORDS

Information Asymmetries; Econometric Modeling; Market Makers

Cite this paper

de la Fuente-Mella, H. , Campos-Espinoza, R. , Silva-Palavecinos, B. and Cademartori-Rosso, D. 2013 An Econometric Analysis for the Behavior of the Bid-Ask Spread. Open Journal of Social Sciences, 1, 1-5. doi: 10.4236-jss.2013.17001.





Author: H. de la Fuente-Mella, R. Campos-Espinoza, B. Silva-Palavecinos, D. Cademartori-Rosso

Source: http://www.scirp.org/



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