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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|
|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.|
|Department/Unit/Centre:||Discipline of Finance|
|Rights and Permissions:||The author retains copyright of this thesis|
|Type of Work:||Thesis, Honours|
|Appears in Collections:||Honours Theses|
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