A new approach to estimate transaction costs: an empirical evidence
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 t...
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2012
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| Online Access: | http://irep.iium.edu.my/47650/ http://irep.iium.edu.my/47650/4/iriie_2012_001.jpg http://irep.iium.edu.my/47650/5/1503P_2012.pdf |
| _version_ | 1848783179682414592 |
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| author | Abdullah, Mimi Hafizah |
| author_facet | Abdullah, Mimi Hafizah |
| author_sort | Abdullah, Mimi Hafizah |
| building | IIUM Repository |
| collection | Online Access |
| description | 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.
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| first_indexed | 2025-11-14T16:17:15Z |
| format | Proceeding Paper |
| id | iium-47650 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T16:17:15Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-476502016-03-22T08:17:00Z http://irep.iium.edu.my/47650/ A new approach to estimate transaction costs: an empirical evidence Abdullah, Mimi Hafizah HG Finance Q Science (General) QA Mathematics 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. 2012-02-21 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/47650/4/iriie_2012_001.jpg application/pdf en http://irep.iium.edu.my/47650/5/1503P_2012.pdf 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) http://www.iium.edu.my/science/news/congratulations-all-iriie-2012-participants-award-winners-kulliyyah-science-kos |
| spellingShingle | HG Finance Q Science (General) QA Mathematics Abdullah, Mimi Hafizah A new approach to estimate transaction costs: an empirical evidence |
| title | A new approach to estimate transaction costs: an empirical evidence |
| title_full | A new approach to estimate transaction costs: an empirical evidence |
| title_fullStr | A new approach to estimate transaction costs: an empirical evidence |
| title_full_unstemmed | A new approach to estimate transaction costs: an empirical evidence |
| title_short | A new approach to estimate transaction costs: an empirical evidence |
| title_sort | new approach to estimate transaction costs: an empirical evidence |
| topic | HG Finance Q Science (General) QA Mathematics |
| url | http://irep.iium.edu.my/47650/ http://irep.iium.edu.my/47650/ http://irep.iium.edu.my/47650/4/iriie_2012_001.jpg http://irep.iium.edu.my/47650/5/1503P_2012.pdf |