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Alexandre Aidov and Olesya Lobanova
Prior studies that examine the relation between market depth and bid?ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spr...
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Valeriya V Posylnaya, Brandon N Cline, Joshua R Aaron
Pág. 72 - 83
This study compares the impact of insider trading by corporate employees of small and medium-sized enterprises (SMEs) on the stock price liquidity of these firms with that of larger institutions. Using publicly reported data, we assess how trades placed ...
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Woradee Jongadsayakul
Pág. 1744 - 1749
This paper provides the box spread test of the SET50 index options market efficiency using daily data from October 29, 2012, through March 30, 2016. The results show that the market frictions imposed by the bid-ask spread, along with brokerage commission...
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Tarek BOUCHADDEKH,Abdelfatteh Bouri,Mohamed Karim KEFI
Pág. 657 - 668
For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers? works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed...
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José Euclides de Melo Ferraz,Christian Johannes Zimmer
Pág. pp. 195 - 221
In this article we propose a new way to include transaction costs into a mean-variance portfolio optimization. We consider brokerage fees, bid/ask spread and the market impact of the trade. A pragmatic algorithm is proposed, which approximates the optima...
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