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 | The author retains copyright of this thesis | |
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, Honours | en |
dc.contributor.department | Discipline of Finance | en |
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