教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Search Costs and Investor Trading Activity: Evidences from Limit Order Book
學年100
學期2
出版(發表)日期2012/03/11
作品名稱Search Costs and Investor Trading Activity: Evidences from Limit Order Book
作品名稱(其他語言)
著者William T. Lin; Shih-Chuan Tsai; David S. Sun
單位
出版者
著錄名稱、卷期、頁數Emerging Markets Finance and Trade 48(3), p.5–31
摘要We analyze in this study investor trading behavior based not on information
related assumptions but on the search model of Vayanos and Wang (2007). Our study
shows that search cost dictates trading polarization across investors, firm size and
time of day. We find that individual investors prefer to trade at market open, while
institutional investors trade more heavily near market close. Trading costs indicate
that it is less costly for institutional investors to trade large cap stocks at market close
than at open. Search cost is related significantly to order-based market liquidity
measures depending on time of day, market capitalizations and investor type.
關鍵字Liquidity;search model;limit order book;market depth;execution cost
語言英文(美國)
ISSN
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版,紙本
相關連結
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