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Pricing and spread components at the Lima Stock Exchange / Luis Chávez-Bedoya, Carlos Loaiza Álamo and Giannio Téllez De Vettori.
- Format:
- Book
- Government document
- Author/Creator:
- Chávez-Bedoya, Luis, author.
- Language:
- English
- Subjects (All):
- Economic and Social Development.
- Peru.
- Local Subjects:
- Economic and Social Development.
- Peru.
- Physical Description:
- 1 online resource
- Contained In:
- CEPAL Review Vol. 2015, no. 115, p. 115-143 2015:115<115 1684-0348
- Place of Publication:
- New York : United Nations, 2016.
- System Details:
- text file
- Summary:
- 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.
- Access Restriction:
- Restricted for use by site license.
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