首页    期刊浏览 2024年11月23日 星期六
登录注册

文章基本信息

  • 标题:Decomposing the bid-ask spread in the Brazilian market: an intraday framework
  • 本地全文:下载
  • 作者:Marcelo Brutti Righi ; Kelmara Mendes Vieira ; Daniel Arruda Coronel
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2014
  • 卷号:34
  • 期号:3
  • 出版社:Economics Bulletin
  • 摘要:In this paper, we identify the bid-ask spread components in the Brazilian market at intraday high frequency. To do so, we use data from all stocks that compose the Ibovespa in 10-minute frequencies from January to March of 2013. We use the model of Huang and Stoll (1997). Preliminary results indicate that there is a relatively stable pattern in the temporal evolution of the means of the bid-ask spread percentage with a distinct seasonal effect linked to the opening and closing of the Brazilian market. Regarding the proportion of components, adverse selection costs exhibit the lowest participation in the bid-ask spread of stocks in the Brazilian market (approximately 3%); inventory holding costs have the largest participation (approximately 52%), followed by the order processing costs component (45%). The presented results highlight the importance of liquidity over information asymmetry as the observed pattern diverges from those obtained in previous studies conducted in developed markets.
国家哲学社会科学文献中心版权所有