Econometric modeling of time series bid-ask (Spread) for a sample of chilean companies

Abstract

The financial literature associated with capital markets, provide a significant relationship between bid-ask and the degree of disclosure given by companies to the capital market and the bid-ask measured by the spread, this has become accepted a measure of information asymmetries. This research is concerned with the behavior of the stock intraday spread and the factors that can affect it. To carry out the study an empirical analysis of a Chilean companies representing 38% of the total market capitalization of the IPSA is used. The results provide that only the factors, quantity supplied and the broker involved in it, are relevant in explaining the bid-ask (spread).