Transaction Costs on the Swiss Stock Exchange
University of St. Gallen
Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 53-68, 2002
I analyze the transaction costs on the Swiss Stock Exchange (SWX). Trading costs on the SWX are in line with the NYSE. The bid-ask spread components are examined in relation with market liquidity, trade size and the time of the day. The order processing costs are the largest cost component but the adverse selection and order persistence components are also significant. Adverse selection and processing costs affect to a wider extent less liquid stocks and characterize the afternoon trading. Also, the adverse selection (order processing) component increases (decreases) with trade size.
Keywords: transaction cost, bid-ask spread components, Swiss Stock Exchange
JEL Classification: G15Accepted Paper Series
Date posted: March 11, 2002
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