Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis

• Main Authors: Abdullah, Mimi Hafizah, Li, Steven
• Format: Conference or Workshop Item
• Language: English; English
• Published: 2013
• Subjects: HG Finance; Q Science (General); QA Mathematics
• Online Access: http://irep.iium.edu.my/47654/1/1098_2013.pdf; http://irep.iium.edu.my/47654/8/47654.pdf; http://irep.iium.edu.my/47654/
• Institution: Universiti Islam Antarabangsa Malaysia

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...