کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958498 929021 2011 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Transaction duration and asymmetric price impact of trades—Evidence from Australia
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Transaction duration and asymmetric price impact of trades—Evidence from Australia
چکیده انگلیسی

This paper investigates the asymmetric price impact of buyer and seller initiated trades and the informational role of the trade duration. Using trade data from the Australian Stock Exchange (ASX), our results indicate that buyer initiated trades increase the ask price more than the bid price, and seller initiated trades decrease the bid price more than the ask price. The transaction duration is modeled in a Box–Cox ACD framework. The unexpected portion of the duration is found to play a more significant role in causing price impact in both purchases and sales than the expected duration. A trade shortly after the previous trade results in higher price impact than one after a long period. We found evidence that increased trading activity is associated with larger price impact, therefore implying a higher degree of information-based trading.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 1, January 2011, Pages 91–102
نویسندگان
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