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A new approach to estimate transaction costs: an empirical evidence

Abdullah, Mimi Hafizah (2012) A new approach to estimate transaction costs: an empirical evidence. In: International Islamic University Malaysia Research, Invention and Innovation Exhibition 2012 (IRIIE 2012), 21st-22nd Feb. 2012, Cultural Activity Centre, International Islamic University Malaysia, Kuala Lumpur. (Unpublished)

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Abstract

This study offers an innovative way as an alternative to estimate the total 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. Based on the actual transaction costs estimates on the Australian Securities Exchange (ASX) documented by previous studies and the Roll’s model, the empirical results reveal that this new approach can provide a reliable transaction costs estimate on stock trading in the ASX. Furthermore, the accuracy of the implied transaction costs across option moneyness and maturity is investigated.

Item Type: Conference or Workshop Item (Poster)
Additional Information: 4482/47650
Uncontrolled Keywords: transaction cost
Subjects: H Social Sciences > HG Finance
Q Science > Q Science (General)
Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User: Ms Mimi Hafizah Abdullah
Date Deposited: 22 Mar 2016 16:17
Last Modified: 22 Mar 2016 16:17
URI: http://irep.iium.edu.my/id/eprint/47650

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