Bid-Ask Spreads in a Stock Exchange Without Market Specialists

Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market

“…Minardi et al (2006) found different spreads for volume and turnover, which is consistent with the changes observed in S_2 and S_0 for the financial crisis period.…”

“…Therefore, the PIN score and Corwin-Schultz bid-ask spread estimator figures can be directly compared. To reinforce this fact, note that the PIN score and Corwin-Schultz estimator figures give only the asymmetric information in markets without the order processing and inventory holding costs (Minardi, Sanvicente, & Monteiro, 2006).…”

“…Goodness of fit can be checked in Figures 3 and 4. Therefore, on an aggregate basis, we can expect variance of asymmetric information in the Brazilian stock market. The prediction of asymmetric information is a novelty because other authors have not examined it in this manner (Girão, Martins, & Paulo, 2014;, 2014Minardi et al, 2006).…”

“…Adverse selection has been found to increase when earnings announcements are expected, but order processing and inventory holding have been found to decrease (Krinsky & Lee, 1996). Minardi, Sanvicente, and Monteiro (2006) showed the absence of order processing and inventory holding costs and the presence of asymmetric information costs in the Brazilian stock market. Therefore, for the present study, we directly treat bid-ask spread as asymmetric information.…”

“…The relevance of this type of research model increases because the high-frequency data used to obtain another measure of asymmetric information (pin score) have only been recently available (Easley, Hvidkjaer, & O´Hara, 2002;. Minardi et al (2006) developed and tested a measure for bid-ask spread in the Brazilian stock market from 1998 to 2003. Their findings showed that bid-ask spread is correlated negatively with liquidity and positively with return.…”