Friction

被引：366

作者：

Stoll, HR ^{[1
]}

机构：

[1] Vanderbilt Univ, Owen Grad Sch Management, Nashville, TN 37240 USA

来源：

JOURNAL OF FINANCE | 2000年 / 55卷 / 04期

关键词：

D O I：

10.1111/0022-1082.00259

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The sources of trading friction are studied, and simple, robust empirical measures of friction are provided. Seven distinct measures of trading friction are computed from transactions data for 1,706 NYSE/AMSE stocks and 2,184 Nasdaq stocks. The measures provide insights into the magnitude of trading costs, the importance of informational versus real frictions, and the role of market structure. The degree to which the various measures are associated with each other and with trading characteristics of stocks is examined.

引用

页码：1479 / 1514

页数：36

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