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A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete
[The structure and dynamics of limit orders on the Budapest stock exchange: The cases of OTP and MOL shares]

Author

Listed:
  • Havran, Dániel
  • Váradi, Kata

Abstract

Leíró tanulmányunkban a Budapesti Értéktőzsde két legnagyobb forgalmú részvényének (OTP, Mol) kereskedési jellemzőit tárjuk fel a 2013-as év első 10 hónapjának adatait használva. A limitajánlati könyv alakját a Budapesti Likviditási Mérték adataiból készített három komponenssel jelenítjük meg. A három talált jellemző a meredekség, a konvexitás és a csavarodás. Az ajánlati és tranzakciós árak, valamint a forgalomadatok alapján készített mutatókat felhasználva végezzük az elemzést. Elsőként ismertetjük a kereskedés egyes jellemzőinek napon belüli mintázatait, és azokat összevetjük a szakirodalom által más tőzsdékre megfigyelt alakzatokkal. Ezt követően azt vizsgáljuk, hogy egy-egy piaci ajánlat hogyan módosítja rövid távon a piaci árfolyamot. Ehhez árhatásegyenleteket becsülünk, amelyben külön mérjük az ajánlat méretének hatását és az ajánlat adásának költségességét. Az ár ha tás egyenleteket azon feltételezés mellett is megbecsüljük, hogy a piaci ajánlatot nyújtók már az ajánlatadás előtt ismerik az ajánlati könyv mélységét. Mérjük a nyitás utáni és a zárás előtti szakaszok hatását is. Végül megvizsgáljuk, hogy miként változnak a vételi és eladási árak, az árrés, valamint az ajánlati könyv alakját leíró főkomponensek, ha egy agresszív (a limitáras szintet elfogyasztó) piaci ajánlat érkezik. Ezzel az ajánlati könyv alakjának mozgását dokumentáljuk, ami a limitajánlatot nyújtó szereplők együttes viselkedését írja le. Journal of Economic Literature (JEL) kód: C32, C51, G10, G17.

Suggested Citation

  • Havran, Dániel & Váradi, Kata, 2016. "A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete [The structure and dynamics of limit orders on the Budapest stock exchange: The cases of O," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 966-992.
    • Handle: RePEc:ksa:szemle:1651
    DOI: 10.18414/KSZ.2016.9.966
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    References listed on IDEAS

    as
    1. P. Weber & B. Rosenow, 2005. "Order book approach to price impact," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 357-364.
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    11. Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
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    Cited by:

    1. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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