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    题名: Asymmetric structure of bid-ask spreads across the business cycle
    作者: Chien-Chih Lin
    关键词: Bid-ask spread;index futures;business cycle;asymmetric information;E32;G13;N25
    日期: 2015-09-01
    上传时间: 2016-04-22 13:10:44 (UTC+8)
    出版者: Routledge
    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.
    關聯: Applied Economics Letters 23(7), pp.501-505
    DOI: 10.1080/13504851.2015.1083078
    显示于类别:[Graduate Institute & Department of Banking and Finance] Journal Article

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