Asymmetric structure of bid-ask spreads across the business cycle | |
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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 | 否 |
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 ) |