CEPAL Review

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ISSN: 
1684-0348 (online)
http://dx.doi.org/10.18356/bf11809a-en
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Cepal Review is the leading journal for the study of economic and social development issues in Latin America and the Caribbean. Edited by the Economic Commission for Latin America, each issue focuses on economic trends, industrialization, income distribution, technological development and monetary systems, as well as the implementation of economic reform and transfer of technology. Written in English and Spanish (Revista de la Cepal), each tri-annual issue offers approximately 12 studies and essays undertaken by authoritative experts or gathered from conference proceedings.
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Article
 

Pricing and spread components at the Lima Stock Exchange You do not have access to this content

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    http://oecd.metastore.ingenta.com/content/5e114377-en.pdf
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Author(s):
Luis Chávez-Bedoya, Carlos Loaiza Álamo, Giannio Téllez De Vettori
28 Mar 2016
Pages:
29
Bibliographic information
No.:
7,
Volume:
2015,
Issue:
115
Pages:
115–143
http://dx.doi.org/10.18356/5e114377-en

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This paper analyses three aspects of the share market operated by the Lima Stock Exchange: (i) the short-term relationship between the pricing, direction and volume of order flows; (ii) the components of the spread and the equilibrium point of the limit order book per share, and (iii) the pricing, order direction and trading volume dynamic resulting from shocks in the same variables when lagged. The econometric results for intraday data from 2012 show that the short-run dynamic of the most and least liquid shares in the General Index of the Lima Stock Exchange is explained by the direction of order flow, whose price impact is temporary in both cases.