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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/58130


    Title: Search Costs and Investor Trading Activity: Evidence from Limit Order Books
    Authors: Lin, William T.;Tsai, Shih-chuan;Sun, David S.
    Contributors: 淡江大學數學學系
    Keywords: execution cost;limit order book;liquidity;market depth;search model
    Date: 2012-03
    Issue Date: 2011-09-29 16:38:19 (UTC+8)
    Publisher: Armonk: M.E. Sharpe, Inc.
    Abstract: In this study, we analyze 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.
    Relation: Emerging Markets Finance and Trade 48(3), pp.4-30
    DOI: 10.2753/REE1540-496X480301
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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