Rajat Tayal, Susan Thomas
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This paper examines transactions costs in
buying versus selling using a large database of
snapshots of the limit order book. On the equity
spot market, there is clear evidence of
asymmetry in liquidity: transactions costs are
lower for buy market orders when compared with
sell market orders. In the identical setting,
trading in single stock futures is also
observed, and there is little evidence of
asymmetry. This suggests that asymmetry in
liquidity may be driven by short sales
restrictions which are present on the spot
market but not on the single stock futures
market. |