Pricing and spread components at the Lima Stock Exchange

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...

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Autores principales:	Chávez-Bedoya, Luis, Loaiza Alamo, Carlos, Téllez de Vettori, Giannio
Formato:	Texto
Lenguaje:	English
Publicado:	2015
Materias:	MERCADOS DE VALORES ACCIONES MODELOS ECONOMETRICOS PRECIOS NEGOCIACIONES COMERCIALES STOCK MARKETS STOCKS ECONOMETRIC MODELS PRICES TRADE NEGOTIATIONS
Acceso en línea:	http://hdl.handle.net/11362/38836
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spelling	oai-11362-388362020-03-06T16:50:27Z Pricing and spread components at the Lima Stock Exchange Chávez-Bedoya, Luis Loaiza Alamo, Carlos Téllez de Vettori, Giannio MERCADOS DE VALORES ACCIONES MODELOS ECONOMETRICOS PRECIOS NEGOCIACIONES COMERCIALES STOCK MARKETS STOCKS ECONOMETRIC MODELS PRICES TRADE NEGOTIATIONS 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. 2015-08-11T22:57:04Z 2015-08-11T22:57:04Z 2015-04 Texto Sección o Parte de un Documento http://hdl.handle.net/11362/38836 LC/G.2636-P 7 en CEPAL Review CEPAL Review 115 .pdf application/pdf PERU PERU
institution	Cepal
collection	Cepal
language	English
topic	MERCADOS DE VALORES ACCIONES MODELOS ECONOMETRICOS PRECIOS NEGOCIACIONES COMERCIALES STOCK MARKETS STOCKS ECONOMETRIC MODELS PRICES TRADE NEGOTIATIONS
spellingShingle	MERCADOS DE VALORES ACCIONES MODELOS ECONOMETRICOS PRECIOS NEGOCIACIONES COMERCIALES STOCK MARKETS STOCKS ECONOMETRIC MODELS PRICES TRADE NEGOTIATIONS Chávez-Bedoya, Luis Loaiza Alamo, Carlos Téllez de Vettori, Giannio Pricing and spread components at the Lima Stock Exchange
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.
format	Texto
author	Chávez-Bedoya, Luis Loaiza Alamo, Carlos Téllez de Vettori, Giannio
author_facet	Chávez-Bedoya, Luis Loaiza Alamo, Carlos Téllez de Vettori, Giannio
author_sort	Chávez-Bedoya, Luis
title	Pricing and spread components at the Lima Stock Exchange
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
publishDate	2015
url	http://hdl.handle.net/11362/38836
work_keys_str_mv	AT chavezbedoyaluis pricingandspreadcomponentsatthelimastockexchange AT loaizaalamocarlos pricingandspreadcomponentsatthelimastockexchange AT tellezdevettorigiannio pricingandspreadcomponentsatthelimastockexchange
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Pricing and spread components at the Lima Stock Exchange

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