Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis
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 transac...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/47654/ http://irep.iium.edu.my/47654/1/1098_2013.pdf http://irep.iium.edu.my/47654/8/47654.pdf |
| _version_ | 1848783180823265280 |
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| author | Abdullah, Mimi Hafizah Li, Steven |
| author_facet | Abdullah, Mimi Hafizah Li, Steven |
| author_sort | Abdullah, Mimi Hafizah |
| building | IIUM Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T16:17:16Z |
| format | Proceeding Paper |
| id | iium-47654 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T16:17:16Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-476542016-03-22T00:56:39Z http://irep.iium.edu.my/47654/ Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis Abdullah, Mimi Hafizah Li, Steven HG Finance Q Science (General) QA Mathematics 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. 2013-02-19 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/47654/1/1098_2013.pdf application/pdf en http://irep.iium.edu.my/47654/8/47654.pdf 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) |
| spellingShingle | HG Finance Q Science (General) QA Mathematics Abdullah, Mimi Hafizah Li, Steven Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title | Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title_full | Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title_fullStr | Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title_full_unstemmed | Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title_short | Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis |
| title_sort | alternative method to estimate transaction costs: an empirical investigation pre-, during and post- financial crisis |
| topic | HG Finance Q Science (General) QA Mathematics |
| url | http://irep.iium.edu.my/47654/ http://irep.iium.edu.my/47654/1/1098_2013.pdf http://irep.iium.edu.my/47654/8/47654.pdf |