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주문 공격성의 비용 : The Cost Order Aggressiveness
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 최혁 | - |
dc.contributor.author | 이우백 | - |
dc.date.accessioned | 2010-01-26T02:32:21Z | - |
dc.date.available | 2010-01-26T02:32:21Z | - |
dc.date.issued | 2002-12 | - |
dc.identifier.citation | 경영논집, Vol.36 No.4, pp. 61-114 | - |
dc.identifier.issn | 1229-0491 | - |
dc.identifier.uri | https://hdl.handle.net/10371/44417 | - |
dc.description.abstract | Using order data for 575 firms listed on Korea Stock Exchange, we examine that the
execution cost of order submission strategy and determinants of order type. We suggest the evidence that investors in Korea Stock Exchange frequently submit the most passive order, which is entered entirely into the limit-order book. This evidence is inconsistent with the result that Bias-Hillion-Spatt (1995) and Griffiths-Smith-Turnbull-White (2000) suggested. We also find that aggressive orders require a significant premium for immediacy of execution while most passive orders have a negative price impact. The price impact of order type is significantly related to the spread, relative order size and depth imbalance. Our results indicate that an increase in spread positively influences the execution cost of aggressive order. The execution cost of aggressive order is negatively associated with number of order submitted and firm size, while positively associated with volatility and order size. | - |
dc.language.iso | ko | - |
dc.publisher | 서울대학교 경영연구소 | - |
dc.title | 주문 공격성의 비용 | - |
dc.title.alternative | The Cost Order Aggressiveness | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | Choi, Hyuk | - |
dc.contributor.AlternativeAuthor | Lee, Woo-baik | - |
dc.citation.journaltitle | 경영논집 | - |
dc.citation.endpage | 114 | - |
dc.citation.number | 4 | - |
dc.citation.pages | 61-114 | - |
dc.citation.startpage | 61 | - |
dc.citation.volume | 36 | - |
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