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dc.contributor.authorChávez Bedoya, Luis*
dc.contributor.authorLoaiza Álamo, Carlos*
dc.contributor.authorGiannio Téllez De Vettori*
dc.creatorUniversidad Peruana de Ciencias Aplicadas (UPC)es_PE
dc.date.accessioned2015-08-18T05:15:40Zes_PE
dc.date.available2015-08-18T05:15:40Zes_PE
dc.date.issued2015-08-18es_PE
dc.identifier.issn0251-2920es_PE
dc.identifier.urihttp://hdl.handle.net/10757/574941es_PE
dc.description.abstractThis 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.
dc.formatapplication/pdfes_PE
dc.language.isoengeng
dc.publisherUnited Nations Publicationses_PE
dc.relation.urlhttp://repositorio.cepal.org/bitstream/handle/11362/38836/RVI115ChavezBedoya_en.pdf?sequence=1es_PE
dc.rightsinfo:eu-repo/semantics/openAccesses_PE
dc.sourceUniversidad Peruana de Ciencias Aplicadas (UPC)es_PE
dc.sourceRepositorio Académico - UPCes_PE
dc.subjectStock Exchangees_PE
dc.subjectPricinges_PE
dc.titlePricing and spread components at the Lima Stock Exchangees_PE
dc.typeinfo:eu-repo/semantics/articlees_PE
dc.identifier.journalCepal Reviewes_PE
dc.description.peer-reviewPeer reviewes_PE
refterms.dateFOA2018-06-17T19:47:34Z
html.description.abstractThis 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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