کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084536 | 1477912 | 2015 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trading costs on the Stock Exchange of Thailand
ترجمه فارسی عنوان
هزینه های بازرگانی در بورس اوراق بهادار تایلند
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock price, and stock liquidity. The total trading cost has a U-shaped relation with order aggressiveness. Collectively, our study suggests that, to minimize the total trading cost, the optimal strategy is simply to use a limit order submitted at the best quote.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 41, October 2015, Pages 31-40
Journal: International Review of Financial Analysis - Volume 41, October 2015, Pages 31-40
نویسندگان
Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang,