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Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia

Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, and stock market regulation etc. and it is often done by combining the quoted bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. The m...

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Main Authors: Puteh, Nor Shazlenna, Abdullah, Mimi Hafizah, Abdullah, Lili Marziana
Format: Conference or Workshop Item
Language:English
Published: 2014
Subjects:
HG Finance
QA Mathematics
Online Access:http://irep.iium.edu.my/39774/1/Bursa_Malaysia_abstract.pdf
http://irep.iium.edu.my/39774/
http://sksm22.um.edu.my/upload/569-1/Buku%20abstract%2017%20nov.pdf
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spelling my.iium.irep.397742015-03-25T01:35:03Z http://irep.iium.edu.my/39774/ Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia Puteh, Nor Shazlenna Abdullah, Mimi Hafizah Abdullah, Lili Marziana HG Finance QA Mathematics Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, and stock market regulation etc. and it is often done by combining the quoted bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. The main objective of this study is to estimate the transaction costs in stock trading on Bursa Malaysia. Even though there are many studies that have been conducted in estimating transaction costs in stock trading on other countries stock exchange, as to date, there is no similar study for the Malaysian stock exchange. This research aims to estimate the transaction costs used by the market for the selling and buying of an asset on the Bursa Malaysia for the year 2013 using daily stock market returns for a sample of top 30 stocks. This study also determines a better estimator of transaction costs which can cover all its components. The more components of transaction costs included in the estimation, the better is the estimation of transaction costs. In this study, Roll’s model and Corwin and Schultz’s (CS) model are used to estimate transaction costs. Since Roll’s model only measures bid-ask spread which is only one of the components of transaction costs, the CS measure is shown to be a better estimator because it covers bid-ask spread as well as liquidity costs. Thus, a benchmark of transaction costs estimation in stock trading on the Bursa Malaysia is determined and can be used as a guide for investors when they want to participate in Malaysia’s stock trading. 2014 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/39774/1/Bursa_Malaysia_abstract.pdf Puteh, Nor Shazlenna and Abdullah, Mimi Hafizah and Abdullah, Lili Marziana (2014) Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia. In: The 2nd National Symposium on Mathematical Sciences (SKSM22), 24-26 November 2014, Hotel Grand BlueWave, Shah Alam. http://sksm22.um.edu.my/upload/569-1/Buku%20abstract%2017%20nov.pdf
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG Finance
QA Mathematics
spellingShingle HG Finance
QA Mathematics
Puteh, Nor Shazlenna
Abdullah, Mimi Hafizah
Abdullah, Lili Marziana
Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
description Estimation of transaction costs in stock market is an important issue for stock trading, asset pricing, and stock market regulation etc. and it is often done by combining the quoted bid-ask spread estimate with commissions and other fees provided by market participants which can be subjective. The main objective of this study is to estimate the transaction costs in stock trading on Bursa Malaysia. Even though there are many studies that have been conducted in estimating transaction costs in stock trading on other countries stock exchange, as to date, there is no similar study for the Malaysian stock exchange. This research aims to estimate the transaction costs used by the market for the selling and buying of an asset on the Bursa Malaysia for the year 2013 using daily stock market returns for a sample of top 30 stocks. This study also determines a better estimator of transaction costs which can cover all its components. The more components of transaction costs included in the estimation, the better is the estimation of transaction costs. In this study, Roll’s model and Corwin and Schultz’s (CS) model are used to estimate transaction costs. Since Roll’s model only measures bid-ask spread which is only one of the components of transaction costs, the CS measure is shown to be a better estimator because it covers bid-ask spread as well as liquidity costs. Thus, a benchmark of transaction costs estimation in stock trading on the Bursa Malaysia is determined and can be used as a guide for investors when they want to participate in Malaysia’s stock trading.
format Conference or Workshop Item
author Puteh, Nor Shazlenna
Abdullah, Mimi Hafizah
Abdullah, Lili Marziana
author_facet Puteh, Nor Shazlenna
Abdullah, Mimi Hafizah
Abdullah, Lili Marziana
author_sort Puteh, Nor Shazlenna
title Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
title_short Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
title_full Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
title_fullStr Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
title_full_unstemmed Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia
title_sort estimation of transaction costs on bursa malaysia = anggaran kos urus niaga di bursa malaysia
publishDate 2014
url http://irep.iium.edu.my/39774/1/Bursa_Malaysia_abstract.pdf
http://irep.iium.edu.my/39774/
http://sksm22.um.edu.my/upload/569-1/Buku%20abstract%2017%20nov.pdf
_version_ 1643611693636386816
score 13.211869

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