期刊論文
| 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 | en_US |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114845 ) |