Pricing and spread components at the Lima Stock Exchange
Descripción del Articulo
This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, o...
| Autores: | , , , |
|---|---|
| Formato: | artículo |
| Fecha de Publicación: | 2015 |
| Institución: | Universidad Peruana de Ciencias Aplicadas |
| Repositorio: | UPC-Institucional |
| Lenguaje: | inglés |
| OAI Identifier: | oai:repositorioacademico.upc.edu.pe:10757/574941 |
| Enlace del recurso: | http://hdl.handle.net/10757/574941 |
| Nivel de acceso: | acceso abierto |
| Materia: | Stock Exchange Pricing |
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| dc.title.es_PE.fl_str_mv |
Pricing and spread components at the Lima Stock Exchange |
| title |
Pricing and spread components at the Lima Stock Exchange |
| spellingShingle |
Pricing and spread components at the Lima Stock Exchange Chávez Bedoya, Luis Stock Exchange Pricing |
| title_short |
Pricing and spread components at the Lima Stock Exchange |
| title_full |
Pricing and spread components at the Lima Stock Exchange |
| title_fullStr |
Pricing and spread components at the Lima Stock Exchange |
| title_full_unstemmed |
Pricing and spread components at the Lima Stock Exchange |
| title_sort |
Pricing and spread components at the Lima Stock Exchange |
| dc.creator.es_PE.fl_str_mv |
Universidad Peruana de Ciencias Aplicadas (UPC) |
| author |
Chávez Bedoya, Luis |
| author_facet |
Chávez Bedoya, Luis Loaiza Álamo, Carlos Giannio Téllez De Vettori Universidad Peruana de Ciencias Aplicadas (UPC) |
| author_role |
author |
| author2 |
Loaiza Álamo, Carlos Giannio Téllez De Vettori Universidad Peruana de Ciencias Aplicadas (UPC) |
| author2_role |
author author author |
| dc.contributor.author.fl_str_mv |
Chávez Bedoya, Luis Loaiza Álamo, Carlos Giannio Téllez De Vettori |
| dc.subject.es_PE.fl_str_mv |
Stock Exchange Pricing |
| topic |
Stock Exchange Pricing |
| description |
This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. The econometric results for intraday data from 2012 show that the short-run dynamic of the most and least liquid shares in the General Index of the Lima Stock Exchange is explained by the direction of order flow, whose price impact is temporary in both cases. |
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2015 |
| dc.date.accessioned.es_PE.fl_str_mv |
2015-08-18T05:15:40Z |
| dc.date.available.es_PE.fl_str_mv |
2015-08-18T05:15:40Z |
| dc.date.issued.fl_str_mv |
2015-08-18 |
| dc.type.es_PE.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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0251-2920 |
| dc.identifier.uri.es_PE.fl_str_mv |
http://hdl.handle.net/10757/574941 |
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Cepal Review |
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0251-2920 Cepal Review |
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http://hdl.handle.net/10757/574941 |
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eng |
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eng |
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http://repositorio.cepal.org/bitstream/handle/11362/38836/RVI115ChavezBedoya_en.pdf?sequence=1 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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United Nations Publications |
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Universidad Peruana de Ciencias Aplicadas (UPC) Repositorio Académico - UPC |
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Chávez Bedoya, LuisLoaiza Álamo, CarlosGiannio Téllez De VettoriUniversidad Peruana de Ciencias Aplicadas (UPC)2015-08-18T05:15:40Z2015-08-18T05:15:40Z2015-08-180251-2920http://hdl.handle.net/10757/574941Cepal ReviewThis paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. The econometric results for intraday data from 2012 show that the short-run dynamic of the most and least liquid shares in the General Index of the Lima Stock Exchange is explained by the direction of order flow, whose price impact is temporary in both cases.Peer reviewapplication/pdfengUnited Nations Publicationshttp://repositorio.cepal.org/bitstream/handle/11362/38836/RVI115ChavezBedoya_en.pdf?sequence=1info:eu-repo/semantics/openAccessUniversidad Peruana de Ciencias Aplicadas (UPC)Repositorio Académico - UPCreponame:UPC-Institucionalinstname:Universidad Peruana de Ciencias Aplicadasinstacron:UPCStock Exchangeeecd98f5-c4b4-4425-87cf-485151e643ea600Pricingb576df92-40de-444d-bb41-7a98a8259e0f600Pricing and spread components at the Lima Stock Exchangeinfo:eu-repo/semantics/article2018-06-17T19:47:34ZThis paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. 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La información contenida en este registro es de entera responsabilidad de la institución que gestiona el repositorio institucional donde esta contenido este documento o set de datos. El CONCYTEC no se hace responsable por los contenidos (publicaciones y/o datos) accesibles a través del Repositorio Nacional Digital de Ciencia, Tecnología e Innovación de Acceso Abierto (ALICIA).
