教師資料查詢 | 類別: 期刊論文 | 教師: 林建志 Lin, Chien-chin (瀏覽個人網頁)

標題: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
語言英文
ISSN1350-4851;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
國別英國
公開徵稿
出版型式,電子版,紙本
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