@article{fac32fce763d43b99fef5620c16a3856,
title = "Search costs and investor trading activity: Evidence from limit order books",
abstract = "In this study, we analyze 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.",
keywords = "execution cost, limit order book, liquidity, market depth, search model",
author = "William Lin and Tsai, {Shih Chuan} and David Sun",
note = "Funding Information: William T. Lin (yungshuncn@hotmail.com) is a professor at the Center for Research of Private Economy, Jhe Jiang University. Shih-Chuan Tsai (tsai16888@gmail.com) is an associate professor at the College of Management, Taiwan Normal University. David S. Sun (davidsun0769@gmail. com) is an assistant professor in the Department of Finance at Kainan University. The authors thank the National Science Foundation of Taiwan and the Financial Engineering Association of Taiwan for their generous financial support, as well as the Taiwan Stock Exchange for data support. The authors also thank the participants at the 2010 EuroConference held by Society for the Study of Emerging Markets, and the 2010 Annual Conference of the Financial Management Association. Any errors are the responsibility solely of the authors. Shih-Chuan Tsai and David S. Sun are the corresponding authors.",
year = "2012",
month = may,
day = "1",
doi = "10.2753/REE1540-496X480301",
language = "English",
volume = "48",
pages = "4--30",
journal = "Emerging Markets Finance and Trade",
issn = "1540-496X",
publisher = "M.E. Sharpe Inc.",
number = "3",
}