Economics, Econometrics and Finance
8 years ago

Bucharest Stock Exchange Trading Costs Reveal Market Efficiency and Competition

Procedia Economics and Finance
Measuring Trading Costs and Noise on Bucharest Stock Exchange. A Bayesian Approach
Ramona Radu, Cosmin-Octavian Cepoi

Paper Summary

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The article measures trading costs and noise on the Bucharest Stock Exchange using a Bayesian approach. The researchers developed a model to analyze stock price movements based on high-frequency trading data. By applying Bayesian estimation, they found that trading costs are higher for less liquid stocks compared to more liquid ones.