Asymmetric structure of bid-ask spreads across the business cycle
學年 104
學期 2
出版(發表)日期 2016-05-01
作品名稱 Asymmetric structure of bid-ask spreads across the business cycle
作品名稱(其他語言)
著者 Chien-Chih Lin
單位
出版者
著錄名稱、卷期、頁數 Applied Economics Letters 23(7), pp.501-505
摘要 This study argues that the structure of bid-ask spreads is asymmetric across the business cycle. During expansion, investors tend to be overconfident, leading to a higher spread component due to information asymmetry. On the other hand, during recession, the markets are more volatile, leading to a higher spread component due to order processing costs. With TAIEX futures contracts as a sample, it is found that the spread component due to information asymmetry is significantly higher in times of expansion than in times of recession, while the spread component due to order processing cost is significantly higher in times of recession than in times of expansion.
關鍵字 Bid-ask spread;index futures;business cycle;asymmetric information;E32;G13;N25
語言 en
ISSN 1350-4851 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Chien-Chih Lin
審稿制度
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105911 )