Search costs and investor trading activity: Evidence from limit order books

William Lin, Shih Chuan Tsai, David Sun

研究成果: 雜誌貢獻综述文章同行評審

4 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
頁(從 - 到)4-30
頁數27
期刊Emerging Markets Finance and Trade
48
發行號3
DOIs
出版狀態已發佈 - 2012 五月 1

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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