淡江大學機構典藏:Item 987654321/58130
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    题名: Search Costs and Investor Trading Activity: Evidence from Limit Order Books
    作者: Lin, William T.;Tsai, Shih-chuan;Sun, David S.
    贡献者: 淡江大學數學學系
    关键词: execution cost;limit order book;liquidity;market depth;search model
    日期: 2012-03
    上传时间: 2011-09-29 16:38:19 (UTC+8)
    出版者: Armonk: M.E. Sharpe, Inc.
    摘要: 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.
    關聯: Emerging Markets Finance and Trade 48(3), pp.4-30
    DOI: 10.2753/REE1540-496X480301
    显示于类别:[財務金融學系暨研究所] 期刊論文

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