Intraday Liquidity Costs: An Examination of Order Execution Quality on Nasdaq

摘要：

When market liquidity imperfections exist, liquidity costs will arise. Our study examines the intraday time dependent patterns of liquidity costs in Nasdaq stocks. Using unique order level data as measures for liquidity costs, we find that orders submitted midday take significantly longer to execute than orders submitted around the open and close. However, midday orders execute with less price variation, fewer trades, and higher fill rates. The time-price tradeo?of order execution coincides with the U-shape patterns of market volume and volatility. While traders are more likely to trade around the open and close, these times exhibit a higher proba- bility of minimizing overall liquidity costs.

作者: Ryan Garvey Fei Wu

作者单位: Duquesne University, Pittsburgh, PA.15282 Massey University, Palmerston North, New Zealand

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-42

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）