委託單驅動連續競價市場的交易成本
Date Issued
2002
Date
2002
Author(s)
DOI
902416H002017
Abstract
This paper proposes a new estimator of transaction cost. In contrast to estimators
proposes in the literature, this new estimator is specifically designed for order-driven
markets with continuous auction. The advantage of this estimator is that it is a function
of the order submitted, the current market depth, and the last transaction. As a result,
one can estimate both conditional and unconditional cost.
This new estimator is a measure of the price impact of a market order. The price
impact can be decomposed into two multiplicative terms: the effect of an order on trade
direction and the price effect of the trade direction. The definition and measure of trade
direction is developed in Hu and Chan (2000). I will apply the new estimator to the
Paris Bourse intraday data. I will also examine the cross-sectional and time-series
variation of the estimated transaction cost. The estimator will also be compared with
other measures proposed in de Jong, Nijman, and Roell(1995).
Subjects
transaction cost
order-driven
continuous auction
market depth
price impact
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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