Commonality in ask-side vs. bid-side liquidity

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage207en_US
dc.citation.spage198en_US
dc.citation.volumeNumber28en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.date.accessioned2020-01-31T18:47:51Z
dc.date.available2020-01-31T18:47:51Z
dc.date.issued2018
dc.departmentDepartment of Managementen_US
dc.description.abstractWe 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.en_US
dc.description.provenanceSubmitted by Onur Emek (onur.emek@bilkent.edu.tr) on 2020-01-31T18:47:51Z No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5)en
dc.description.provenanceMade available in DSpace on 2020-01-31T18:47:51Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5) Previous issue date: 2018en
dc.embargo.release2021-03-01
dc.identifier.doi10.1016/j.frl.2018.04.020en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/52970
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.frl.2018.04.020en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectMarket microstructureen_US
dc.subjectCommonality in liquidityen_US
dc.subjectOrder booken_US
dc.subjectAsk-side liquidityen_US
dc.subjectBid-side liquidityen_US
dc.titleCommonality in ask-side vs. bid-side liquidityen_US
dc.typeArticleen_US

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