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

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 (Unpublished)

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Abstract

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.

Item Type:	Conference or Workshop Item (Poster)
Additional Information:	4482/47654
Uncontrolled Keywords:	implied transaction costs, Leland model, index options, empirical
Subjects:	H Social Sciences > HG Finance Q Science > Q Science (General) Q Science > QA Mathematics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Ms Mimi Hafizah Abdullah
Date Deposited:	22 Mar 2016 08:56
Last Modified:	22 Mar 2016 08:56
URI:	http://irep.iium.edu.my/id/eprint/47654

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