Characterizing bid–ask prices in the Brazilian equity market

Daniel Cajueiro and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2007, vol. 373, issue C, 627-633

Abstract: 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].

Keywords: Long-range dependence; Bid–ask spreads; Market microstructure; Emerging equity markets; Hurst exponents (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:373:y:2007:i:c:p:627-633

DOI: 10.1016/j.physa.2006.04.106

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