Econometric modeling of time series bid-ask (Spread) for a sample of chilean companies

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

The financial literature associated with capital markets, provide a significant relationship between bid-ask and the degree of disclosure given by companies to the capital market and the bid-ask measured by the spread, this has become accepted a measure of information asymmetries. This research is concerned with the behavior of the stock intraday spread and the factors that can affect it. To carry out the study an empirical analysis of a Chilean companies representing 38% of the total market capitalization of the IPSA is used. The results provide that only the factors, quantity supplied and the broker involved in it, are relevant in explaining the bid-ask (spread).

Original languageEnglish
Title of host publicationAdvances in Human Factors, Business Management and Leadership - Proceedings of the AHFE 2017 International Conferences on Human Factors in Management and Leadership, and Business Management and Society
EditorsTibor Barath, Jussi Ilari Kantola, Salman Nazir
PublisherSpringer Verlag
Pages241-246
Number of pages6
ISBN (Print)9783319603711
DOIs
StatePublished - 1 Jan 2018
EventAHFE 2017 International Conferences on Human Factors in Management and Leadership, and Business Management and Society, 2017 - Los Angeles, United States
Duration: 17 Jul 201721 Jul 2017

Publication series

NameAdvances in Intelligent Systems and Computing
Volume594
ISSN (Print)2194-5357

Conference

ConferenceAHFE 2017 International Conferences on Human Factors in Management and Leadership, and Business Management and Society, 2017
CountryUnited States
CityLos Angeles
Period17/07/1721/07/17

Keywords

  • Chilean capital market
  • Information asymmetric
  • Intraday spread

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