Pricing and spread components at the Lima Stock Exchange

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cepal.articleNo7
cepal.bibLevelSección o Parte de un Documento
cepal.callNumberLC/G.2636-P
cepal.docTypeRevistas
cepal.jelCodeG11
cepal.jelCodeG12
cepal.jelCodeG15
cepal.jobNumberRV115ChavezBedoya_en
cepal.physicalDescriptiongráficos., tablas.
cepal.regionalOfficeSantiago
cepal.topicEngFINANCIAL AND MONETARY SECTOR
cepal.topicSpaSECTOR FINANCIERO Y MONETARIO
cepal.workareaEngECONOMIC DEVELOPMENT
cepal.workareaEngSTATISTICS
cepal.workareaSpaDESARROLLO ECONÓMICO
cepal.workareaSpaESTADÍSTICAS
dc.contributor.authorTéllez de Vettori, Giannio
dc.contributor.authorChávez-Bedoya, Luis
dc.contributor.authorLoaiza Alamo, Carlos
dc.coverage.spatialEngPERU
dc.coverage.spatialSpaPERU
dc.date.accessioned2015-08-11T22:57:04Z
dc.date.available2015-08-11T22:57:04Z
dc.date.issued2015-04
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.formatTexto
dc.format.extentpáginas. 115-14
dc.format.mimetypeapplication/pdf
dc.identifier.unSymbolLC/G.2636-P
dc.identifier.urihttps://hdl.handle.net/11362/38836
dc.language.isoeng
dc.physicalDescriptionp. 115-143: gráfs., tabls.
dc.relation.isPartOfCEPAL Review
dc.relation.isPartOfNo115
dc.relation.isPartOfSeriesCEPAL Review
dc.relation.translationLanguagespa
dc.relation.translationRecordPrecios de adjudicación y componentes del spread en la Bolsa de Valores de Lima
dc.relation.translationUrihttps://hdl.handle.net/11362/37834
dc.rights.coarDisponible
dc.subject.unbisEngSTOCK MARKETS
dc.subject.unbisEngSTOCKS
dc.subject.unbisEngECONOMETRIC MODELS
dc.subject.unbisEngPRICES
dc.subject.unbisEngTRADE NEGOTIATIONS
dc.subject.unbisSpaMERCADOS DE VALORES
dc.subject.unbisSpaACCIONES
dc.subject.unbisSpaMODELOS ECONOMETRICOS
dc.subject.unbisSpaPRECIOS
dc.subject.unbisSpaNEGOCIACIONES COMERCIALES
dc.titlePricing and spread components at the Lima Stock Exchange
dc.type.coarartículo
dspace.entity.typePublication
relation.isAuthorOfPublication529a4d31-6702-46c2-90ec-db6fea80f47a
relation.isAuthorOfPublication86eb44d1-88de-4e52-a8a2-49e2fa2f6227
relation.isAuthorOfPublicationd1ffc9a1-d2ed-4b5f-8cdf-511f3ad78750
relation.isAuthorOfPublication.latestForDiscovery529a4d31-6702-46c2-90ec-db6fea80f47a
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