Implicit Transaction Cost Management Using Intraday Price Dynamics
Applied Economics, vol. 50 (39), 4264-4274, 2018
24 Pages Posted: 21 Jan 2021
Date Written: February 3, 2018
Using the Exchange Liquidity Measure, we show that implicit transaction costs exhibit intraday regularities around specific price change signals for a sample of European blue chips publicly quoted on Euronext. Not only transaction costs follow a reverse J-shape throughout the day, but they also decrease significantly around specific patterns of price dynamics. By focusing on these signals during the trading day, liquidity traders may detect intraday windows of opportunities during which implicit transaction costs are lower.
Keywords: XLM, Transaction costs, Liquidity, Execution
JEL Classification: G14, G10
Suggested Citation: Suggested Citation