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    题名: Does Trading Remove or Bring Frictions?
    作者: Lin, William T.;Sun, David S.;Tsai, Shih-chuan
    贡献者: 淡江大學財務金融學系
    关键词: Noise;transaction cost;herding;search model;order book
    日期: 2012-03-11
    上传时间: 2012-07-19 09:11:32 (UTC+8)
    出版者: Armonk: M.E. Sharpe, Inc.
    摘要: We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market. However, trading friction at market open is the lowest during the day, as trading causes less friction then relatively. This is due to the behavioral difference among investors. When market opens, individual trading removes, while institutional trading brings, market friction. Situation in the rest of the day is just the opposite, where individual, instead of institutional, trading brings friction. The uneven behavior of trading noise across investors and time of day makes it a specific, rather than general, transactions cost, as opposed to Stoll (2000). Intraday trading activity suppresses both order width and depth, as proxies for trading intensity, therefore creates more noise or friction in the market. Width and depth contribute to trading noise in a polarized way, so that individual trading hurts friction in small cap stocks at open, but benefits it at close. Institutional trading brings extremely strong friction to large cap stocks, but less so at market close. So trading noise as a specific, rather than general, transactions cost is prominent only to certain investors, at certain time and for certain stocks in the market. Our findings lend itself to the justification of the new financial transactions tax proposed by the European Union.
    關聯: Munich Personal RePEc Archive 37285(posted 11)
    DOI: 10.2139/ssrn.2019539
    显示于类别:[財務金融學系暨研究所] 期刊論文

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