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Pricing and spread components at the Lima Stock Exchange

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.

Identiferoai:union.ndltd.org:PERUUPC/oai:repositorioacademico.upc.edu.pe:10757/574941
Date18 August 2015
CreatorsChávez Bedoya, Luis, Loaiza Álamo, Carlos, Giannio Téllez De Vettori, Universidad Peruana de Ciencias Aplicadas (UPC)
PublisherUnited Nations Publications
Source SetsUniversidad Peruana de Ciencias Aplicadas (UPC)
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/article
SourceUniversidad Peruana de Ciencias Aplicadas (UPC), Repositorio Académico - UPC
Rightsinfo:eu-repo/semantics/openAccess
Relationhttp://repositorio.cepal.org/bitstream/handle/11362/38836/RVI115ChavezBedoya_en.pdf?sequence=1

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