Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis

Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis

This study offers an alternative method to estimate transaction costs in stock trading via the implied transaction costs by using the Leland option pricing model. The effectiveness of this new approach is tested by using the S&P/ASX 200 index call options data. On the basis of the actual transac...

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Bibliographic Details
Main Authors: Abdullah, Mimi Hafizah, Li, Steven
Format: Conference or Workshop Item
Language:English
English
Published: 2013
Subjects:
HG Finance
Q Science (General)
QA Mathematics
Online Access:http://irep.iium.edu.my/47654/
http://irep.iium.edu.my/47654/1/1098_2013.pdf
http://irep.iium.edu.my/47654/8/47654.pdf
id iium-47654
recordtype eprints
spelling iium-476542016-03-22T00:56:39Z http://irep.iium.edu.my/47654/ Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis Abdullah, Mimi Hafizah Li, Steven HG Finance Q Science (General) QA Mathematics This study offers an alternative method to estimate transaction costs in stock trading via the implied transaction costs by using the Leland option pricing model. The effectiveness of this new approach is tested by using the S&P/ASX 200 index call options data. On the basis of the actual transaction costs estimates on the Australian Securities Exchange (ASX) documented by previous studies and Roll’s model, the empirical results reveal that this new approach can provide a reliable transaction costs estimate on stock trading in the ASX. The accuracy of the implied transaction costs across option moneyness and maturity and the variation of the implied transaction costs during the recent global financial crisis period are investigated. 2013-02-19 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/47654/1/1098_2013.pdf application/pdf en http://irep.iium.edu.my/47654/8/47654.pdf Abdullah, Mimi Hafizah and Li, Steven (2013) Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis. In: International Islamic University Malaysia Research, Invention and Innovation Exhibition 2013 (IRIIE 2013), 19th-20th February 2013, Kuala Lumpur, Malaysia. (Unpublished)
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
topic HG Finance
Q Science (General)
QA Mathematics
spellingShingle HG Finance
Q Science (General)
QA Mathematics
Abdullah, Mimi Hafizah
Li, Steven
Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
description This study offers an alternative method to estimate transaction costs in stock trading via the implied transaction costs by using the Leland option pricing model. The effectiveness of this new approach is tested by using the S&P/ASX 200 index call options data. On the basis of the actual transaction costs estimates on the Australian Securities Exchange (ASX) documented by previous studies and Roll’s model, the empirical results reveal that this new approach can provide a reliable transaction costs estimate on stock trading in the ASX. The accuracy of the implied transaction costs across option moneyness and maturity and the variation of the implied transaction costs during the recent global financial crisis period are investigated.
format Conference or Workshop Item
author Abdullah, Mimi Hafizah
Li, Steven
author_facet Abdullah, Mimi Hafizah
Li, Steven
author_sort Abdullah, Mimi Hafizah
title Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
title_short Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
title_full Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
title_fullStr Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
title_full_unstemmed Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
title_sort alternative method to estimate transaction costs: an empirical investigation pre-, during and post- financial crisis
publishDate 2013
url http://irep.iium.edu.my/47654/
http://irep.iium.edu.my/47654/1/1098_2013.pdf
http://irep.iium.edu.my/47654/8/47654.pdf
first_indexed 2023-09-18T21:07:47Z
last_indexed 2023-09-18T21:07:47Z
_version_ 1777411049432023040

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