Does market depth concentration matter? Evidence from the Australian Stock Exchange
| Field | Value | Language |
| dc.contributor.author | Avila, Kristoffer Kevin | |
| dc.date.accessioned | 2009-02-26 | |
| dc.date.available | 2009-02-26 | |
| dc.date.issued | 2009-02-26 | |
| dc.identifier.uri | http://hdl.handle.net/2123/4074 | |
| dc.description.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. | en |
| dc.language.iso | en | en |
| dc.rights | Other | en |
| dc.subject | Does market depth concentration matter? Evidence from the Australian Stock Exchange | en |
| dc.title | Does market depth concentration matter? Evidence from the Australian Stock Exchange | en |
| dc.type | Thesis | en |
| dc.type.thesis | Honours | en |
| dc.rights.other | The author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission. | en |
| usyd.faculty | The University of Sydney Business School | en |
| usyd.department | Discipline of Finance | en |
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