Commonality in ask-side vs. bid-side liquidity
Date
2018
Authors
Şensoy, Ahmet
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
BUIR Usage Stats
0
views
views
27
downloads
downloads
Citation Stats
Series
Abstract
We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels of the order book. We find that bid-side liquidity has a higher commonality than ask-side liquidity for small position sizes to trade. On the other hand, ask-side commonality becomes stronger once position size exceeds a certain level. Empirical evidence suggests that this switching pattern may be due to the investors’ over-reaction to a positive and under-reaction to a negative market trend.
Source Title
Finance Research Letters
Publisher
Elsevier
Course
Other identifiers
Book Title
Degree Discipline
Degree Level
Degree Name
Citation
Permalink
Published Version (Please cite this version)
Collections
Language
English
Type
Article