ORCID
Hanns de la Fuente-Mella 0000-0003-2564-8770
Keywords
Spread (Bid-Ask); Econometric Modeling; IFRS; Information Asymmetry; Information Disclosure
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 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.
Recommended Citation
Cademartori-Rosso, D., Silva-Palavecinos, B., Campos-Espinoza, R., & de la Fuente-Mella, H. (2024). An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market. Journal of Banking and Financial Economics, 2017(7), 90-101. https://doi.org/10.7172/2353-6845.jbfe.2017.1.5
First Page
90
Last Page
101
Page Count
12
Received Date
03 August 2016
Revised Date
13 March 2017
Accept Date
03 April 2017
Online Available Date
15 May 2017
DOI
10.7172/2353-6845.jbfe.2017.1.5
Publisher
University of Warsaw