Does trading remove or cause friction?

William T. Lin, David S. Sun*, Shih Chuan Tsai

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

2 引文 斯高帕斯(Scopus)

摘要

This study shows that trading causes friction in the market. However, when the market opens, trading of individuals removes market friction, while that of institutional trading does not. The situation during the rest of the day is just the opposite. The uneven behavior of trading noise across investors and time of day makes it a specific, rather than general, transaction cost, contrary to Stoll's (2000) finding. Intraday trading activity suppresses both order width and depth, as proxies for trading intensity, and therefore creates noise or friction in the market. Our findings support the proposed financial transaction tax in the European Union.

原文英語
頁(從 - 到)33-53
頁數21
期刊Emerging Markets Finance and Trade
48
發行號SUPPL.4
DOIs
出版狀態已發佈 - 2012 十一月 1

ASJC Scopus subject areas

  • 金融
  • 經濟學、計量經濟學和金融學 (全部)

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