Pricing and spread components at the Lima Stock Exchange
- Author(s):
-
Chávez-Bedoya, Luis |
-
Loaiza Alamo, Carlos |
- Téllez de Vettori, Giannio
- Date Issued:
- 2015-04
- Serie:
- CEPAL Review
- UN symbol:
- Published in:
- CEPAL Review No.115
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.
Show full data
- Physical description:
- UN symbol:
- Physical location:
- Type of document:
- Bibliographic level:
- Jel Code:
- Show full item record
Downloadable Files
This item appears in the following Collection(s)
-
Revista CEPAL [2844]
Related items
Showing items related by title, author, creator and subject.
Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima
- Author(s):
- Chávez-Bedoya, Luis |
- Loaiza Alamo, Carlos |
- Téllez de Vettori, Giannio
- Serie:
- No.
- 115
- Date Issued
- 2015-04
- Physical Description
- p. 128-158; grafs., tabls.
- UN symbol:
En este trabajo se analizan tres aspectos del mercado de acciones de la Bolsa de Valores de Lima (bvl): i) la relación de corto plazo entre la dinámica de precios, la dirección y el volumen del flujo de órdenes; ii) los componentes del spread y el punto de equilibrio del Libro de Órdenes Límite por...
Análisis de las fuerzas socioeconómicas subyacentes tras la gestión ambiental: la experiencia boliviana
- Author(s):
- Chávez Corrales, Juan Carlos
- Corporate Author(s):
- NU. CEPAL |
- NU. CEPAL. Unidad Conjunta CEPAL/PNUMA de Desarrollo y Medio Ambiente |
- PNUMA
- Date Issued
- 1995-05-30
- Physical Description
- 84 p. : tabls.
- UN symbol:
Acuerdo de asociación Centroamérica-Unión Europea: evaluación utilizando equilibrio general computable y equilibrio parcial
- Author(s):
- Durán Lima, José Elías |
- Ludeña, Carlos |
- Alvarez, Mariano |
- De Miguel, Carlos J.
- Corporate Author(s):
- NU. CEPAL
- Serie:
- No.
- 215
- Date Issued
- 2008-11
- Physical Description
- 56 p. : gráfs., tabls.
- UN symbol:
La pesca en alta mar y los intereses de los estados ribereños de la región: un análisis de la negociación futura a la luz de la equidad: parte I: De la Convención de las Naciones Unidas sobre el Derecho del Mar a la convocatoria de la Conferencia de las Naciones Unidas sobre Poblaciones Transzonales y las Poblaciones de Peces Altamente Migratorias = High-seas fisheries and the interests of the coastal states of the region: an analysis of the upcoming negotiation from the perspective of social equity: part I: From the United Nations Convention on the Law of the Sea to the United Nations Conference on Straddling Fish Stocks and Highly Migratory Fish Stocks
- Corporate Author(s):
- NU. CEPAL. División de Recursos Naturales y Energía
- Date Issued
- 1993-12-31
- Physical Description
- 40 p.
- UN symbol: