The intraday pattern of information asymmetry : evidence from the NYSE
Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McI...
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| Format: | Others |
| Language: | en |
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University of Saskatchewan
2009
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| Online Access: | http://library.usask.ca/theses/available/etd-09032009-164536/ |