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Pricing and spread components at the Lima Stock Exchange

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Date
2015-04
Author
Chávez-Bedoya, Luis
Loaiza Alamo, Carlos
Téllez de Vettori, Giannio
UN Symbol
LC/G.2636-P
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Abstract
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.
Translation
Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima
Published in:
CEPAL Review   No.115

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Serie
CEPAL Review
ECLAC Subtopics
FINANCIAL AND MONETARY SECTOR
United Nations Subtopics
STOCK MARKETS ; STOCKS ; ECONOMETRIC MODELS ; PRICES ; TRADE NEGOTIATIONS
Country / Region
PERU
URI
https://hdl.handle.net/11362/38836
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