Analysis of Transaction Costs and Inferring Trade Direction

• 발행기관: 한국자료분석학회
• 저자명: Jungsoon Shin
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.4, 1719~1727쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.08.30

영문 초록

Using the U.S. TAQ(Trading and Quotation) data, I analyzed the transaction costs and inferred the trading direction. Unlike the explicit trading costs, little attention has been paid to the implicit trading costs. In the market microstructure study, absolute, effective, and realized spreads are deemed as the implicit costs. To obtain the effective and realized spreads, I employ the Lee and Ready(1991) 5 second rule method. Then, I compare three implicit costs. Consistent to the theory, effective and realized spreads show the lower values than the absolute dollar spreads. Effective spreads reflect the price improvement because dealers and brokers provide discount to the traders. Realized spreads adjust for the price impact since large buys and sales may have influence on the prices following block transactions.

목차

1. Introduction

2. Data

3. Empirical Tests

4. Conclusion

References

키워드

Absolute Effective and Realized spread Implicit costs TAQ Quote and tick test