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    Title: Asymmetric structure of bid-ask spreads across the business cycle
    Authors: Chien-Chih Lin
    Keywords: Bid-ask spread;index futures;business cycle;asymmetric information;E32;G13;N25
    Date: 2015-09-01
    Issue Date: 2016-04-22 13:10:44 (UTC+8)
    Publisher: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 23(7), pp.501-505
    DOI: 10.1080/13504851.2015.1083078
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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