The Role Of Trading Frequency And Transaction Cost On Asset Pricing: Evidence From Pakistan Stock Exchange

  • Saira Gul Institute of Business and Management Sciences, The University of Agriculture Peshawar, Pakistan
  • Sabeeh Ullah Institute of Business and Management Sciences, The University of Agriculture, Peshawar, Pakistan. https://orcid.org/0000-0002-5055-1498
Keywords: liquidity, price impact ratio, new price impact ratio, transaction cost, trading frequency

Abstract

This paper compares price impact ratio (Amihud, 2002) and new price impact ratio (Florackis, Gregoriou, & Kostakis, 2011) by taking daily data from Pakistani market for a period of 14 years ranging from January 2000 to December 2013. The first part of the paper covers the comparison of deciles portfolios and the second part covers risk adjusted deciles portfolios. Results suggest that new price impact model gives better results as compared to extensively applied price impact model and confirms that costs of transaction and trading frequency jointly effect asset pricing. Therefore, both the aspects should be studied mutually rather than in isolation.

JEL Classification Codes: G10; G12; G14

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Published
2020-02-28
How to Cite
Gul, S., & Ullah, S. (2020). The Role Of Trading Frequency And Transaction Cost On Asset Pricing: Evidence From Pakistan Stock Exchange. Journal of Quantitative Methods, 4(1), 1-1. https://doi.org/10.29145/2020/jqm/040103