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http://hdl.handle.net/2123/4074
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| Title: | Does market depth concentration matter? Evidence from the Australian Stock Exchange |
| Authors: | Avila, Kristoffer Kevin Discipline of Finance |
| Keywords: | Does market depth concentration matter? Evidence from the Australian Stock Exchange |
| Issue Date: | 26-Feb-2009 |
| Abstract: | In considering the behaviour of market participants, this paper introduces a new variable into the model for the determinants of institutional trading costs. By using an ex-ante measure of the concentration in the opposite-side of the market, this study suggests that traders on the opposite-side of the market herd against an incoming trader looking to trade a series of orders. The new variable measures the level of broker competition prevailing on the opposite-side of the market and is found to be negatively related with price impact. |
| URI: | http://hdl.handle.net/2123/4074 |
| Department/Unit/Centre: | Discipline of Finance |
| Appears in Collections: | Honours Theses |
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