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Characterizing bid–ask prices in the Brazilian equity market

✍ Scribed by Daniel O. Cajueiro; Benjamin M. Tabak

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
136 KB
Volume
373
Category
Article
ISSN
0378-4371

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✦ Synopsis

This paper presents evidence of long-range dependence in bid-ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid-ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally, we show that bid-ask prices may be characterized by a distribution that decays as a power law reinforcing the results of Plerou et al. [Quantifying fluctuations in market liquidity: analysis of the bid-ask spread, Phys. Rev. E 71 (2005) 046131].

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