年度100
等級
書名Search Costs and Investor Trading Activity: Evidences from limit order book
部分章節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.
出版社Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
全部作者Lin, William T.; Tsai, Shih-chuan; Sun, David S.
出版日期2012-03-01
所屬計畫案Search Costs and Investor Trading Activity: Evidences from limit order book
備註專書