Trade Size (trade + size)

Distribution by Scientific Domains


Selected Abstracts


Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Hee-Joon Ahn
G10; G13 Abstract In the present study, we examine two important issues related to the information content of a trade in option markets: (i) whether trade size is related to information content; and (ii) whether buy and sell transactions carry different information content. Our analysis is based on comprehensive market microstructure data on the KOSPI 200 options, the single most actively traded derivative securities in the world. We use two structural models modified from the Madhavan et al. [Review of Financial Studies 10 (1997) 1035,1064] model, the size-dependent model (SDM), and the dummy variable model (DVM). The SDM incorporates trade size in the model to estimate the magnitude of the information content of a trade. The DVM separately estimates information contents for buyer- and seller-initiated trades using a dummy variable. Our SDM analysis reveals that large trades are in general more informative than small trades. The results from the DVM analysis indicate that buyer-initiated trades generally have greater information content than seller-initiated trades. A further analysis using investor-type information shows that the asymmetry in information content between buy and sell trades is mostly attributable to the orders submitted by foreign and domestic institutional investors. [source]


Corporate Bond Market Transaction Costs and Transparency

THE JOURNAL OF FINANCE, Issue 3 2007
AMY K. EDWARDS
ABSTRACT Using a complete record of U.S. over-the-counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and they drop when the TRACE system starts to publicly disseminate their prices. The results suggest that public traders benefit significantly from price transparency. [source]


Secondary Trading Costs in the Municipal Bond Market

THE JOURNAL OF FINANCE, Issue 3 2006
LAWRENCE E. HARRIS
ABSTRACT Using new econometric methods, we separately estimate average transaction costs for over 167,000 bonds from a 1-year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantially more expensive than similar-sized equity trades. We attribute these results to the lack of bond market price transparency. Additional cross-sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds. [source]


Slippage in futures markets: Evidence from the Sydney Futures Exchange

THE JOURNAL OF FUTURES MARKETS, Issue 12 2005
Alex Frino
This article examines the market-impact cost of trades executed in futures markets, which is commonly referred to as slippage. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trades in stock-index and interest-rate futures markets are significantly smaller than market-impact costs documented previously for equity markets. Furthermore, in contrast to research based on equity markets, there is little evidence that trade packages executed in futures markets convey information, or that purchases and sales behave differently. In fact, the evidence presented in this article implies that slippage in futures markets is entirely a liquidity cost, and symmetrical for purchases and sales. This is consistent with previous work, which conjectures that there is an absence of private information in stock-index and interest-rate futures markets. Finally, analogously to previous research, there is some evidence that trade size and the identity of traders are determinants of slippage; however, these variables explain less than 10% of the total variation in slippage. 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1129,1146, 2005 [source]


Impact of the Change in Tick Size on Transaction Costs and Liquidity: An Empirical Investigation of the Taiwan Stock Exchange,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 4 2010
Su-Wen Kuo
C12; G15 Abstract The minimum price variation on the Taiwan Stock Exchange reduced for most price categories on March 1, 2005. The present paper simultaneously examines the institutional and endogenous impacts of tick size changes on transaction costs, market liquidity, and trading activity. The empirical evidence suggests that following a reduction in tick size, uniform declines are discernible in transaction costs and market liquidity. In particular, those stocks with a larger relative tick size reduction, higher trading volume, and higher order handling cost components have greater reductions in spread and market depth. Moreover, endogenous tick size reductions have an adverse effect on the trading activity for low-price stocks, due to the relative disadvantage in explicit transaction costs. Finally, the present study observes a general diminution in trade size resulting from a reduction in tick size in the Taiwan Stock Exchange. This study attributes plausible rationales to the fact that after tick size reductions, informed traders employ a smaller trade size to hide private information, or front-runners place a smaller trade size to avoid market turbulence. [source]


Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Hee-Joon Ahn
G10; G13 Abstract In the present study, we examine two important issues related to the information content of a trade in option markets: (i) whether trade size is related to information content; and (ii) whether buy and sell transactions carry different information content. Our analysis is based on comprehensive market microstructure data on the KOSPI 200 options, the single most actively traded derivative securities in the world. We use two structural models modified from the Madhavan et al. [Review of Financial Studies 10 (1997) 1035,1064] model, the size-dependent model (SDM), and the dummy variable model (DVM). The SDM incorporates trade size in the model to estimate the magnitude of the information content of a trade. The DVM separately estimates information contents for buyer- and seller-initiated trades using a dummy variable. Our SDM analysis reveals that large trades are in general more informative than small trades. The results from the DVM analysis indicate that buyer-initiated trades generally have greater information content than seller-initiated trades. A further analysis using investor-type information shows that the asymmetry in information content between buy and sell trades is mostly attributable to the orders submitted by foreign and domestic institutional investors. [source]


What do Options have to do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2009
David Michayluk
Abstract This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information component, which stays consistent irrespective of the degree of option leverage. Further, intraday variation in stock bid-ask spread components is affected by the stock trade size and the extent of imbalance in information-based option trades. Including the options market information in decomposition of the stock bid-ask spread enhances the quality of its estimation. [source]


The Impact of Trade Characteristics on Stock Return Volatility: Evidence from the Australian Stock Exchange,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2009
Alex Frino
Abstract This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the stealth trading hypothesis (Barclay and Warner, 1993). After controlling for trading frequency, the average trade size is found to have little explanatory power on price volatility. Stock return volatility is more sensitive to buyer-initiated trades than seller-initiated trades, especially so for buyer-initiated medium sized trades. This finding is consistent with the assertion that information effects are stronger for buys than for sells (Chan and Lakonishok, 1993). [source]