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2017 | nr 1(7) | 90--101
Tytuł artykułu

An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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 find that the definition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical significance of the variables of a specific model. (original abstract)
Rocznik
Numer
Strony
90--101
Opis fizyczny
Twórcy
  • Pontificia Universidad Católica de Valparaíso, Chile
  • Pontificia Universidad Católica de Valparaíso, Chile
  • Pontificia Universidad Católica de Valparaíso, Chile
  • Pontificia Universidad Católica de Valparaíso, Chile
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171498315

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