Liquidity-related transaction costs in the Colombian stock exchange
Liquidity-related transaction costs in the Colombian stock exchange
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Publisher
Bogotá: Editorial Pontificia Universidad Javeriana
Journal title
Language
Spanish
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Publication information
Publisher
Bogotá: Editorial Pontificia Universidad Javeriana
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Scope and Contents
Contents
In a stock exchange, the principal liquidity-related transaction costs are the margin between bid and offer for smaller transactions, and the impact on price for larger ones. This article estimates both indicators, with intra-day data, following a reconstruction of the order book, and in Goyenko et al. (2009) and Hasbrouck (2009). Using the orders...
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Full title
Liquidity-related transaction costs in the Colombian stock exchange
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Record Identifier
TN_cdi_proquest_miscellaneous_1496950989
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1496950989
Other Identifiers
ISSN
0120-3592
E-ISSN
1900-7205
