Search costs and investor trading activity: evidences from limit order book
AbstractWe analyze in this study 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 37284.
Date of creation: Aug 2010
Date of revision: Aug 2011
Liquidity; search model; limit order book; market depth; execution cost;
Other versions of this item:
- William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(3), pages 4-30, May.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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