An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market
An Econometric Analysis for the Bid-Ask Spread in the Emerging Chilean Capital Market

Summary/Abstract: The purpose of this paper is to show that different methods for calculating the spread (Bid-Ask) and the methods for annualizing intra-day data affect the results of econometric models. To achieve our goal, we analyze different econometric models in the context of:i) the International Financial Reporting Standards (IFRS) adoption,ii) the reduction of information asymmetry due to new corporate governance standards, andiii) the ownership concentration that characterize the Chilean Capital Market. We test the quality of the information delivered to the market using two information disclosure indices (DIS and Botosan).We find that the defi nition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical signifi cance of the variables of a specific model.

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