Transaction Cost Analysis A-Z
Transaction Cost Analysis A-Z — November 2008
VI. A New Framework: the EBEX Indicators
day of their release. Only about 14% are executed later.
Figure 20: Distribution of orders by release time
1200
1000
Figure 19: Distribution of buy (B) and sell (S) orders by month
800
1800
1750
600
15.35%
19.06%
1500
17.06%
400
1150
Number of orders
200
900
23.54%
750
0
14.60%
500 Number of orders
10.40%
7:00
8:00
9:00
250
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
1-h interval
0
Jan
Feb
March
Month
Figure 21: Distribution of orders by execution time
Order direction
S
B
2500
To document order release and execution times, we divide each trading session into one-hour intervals. We show the distribution of orders by release time in figure 20 and by execution time in figure 21. As the figures show, most orders are released in the morning with a peak between 10:00 and 12:00. The bulk of the orders are executed in the 17:00 interval that includes the market close. At the time (2005), the market closed at 17:40 at the latest on Euronext and it could be surprising that some orders are executed after the close. This might be the result of off-market trades but it is more likely that they are the result of our assumption that the broker response time is the execution time.
2000
1500
1000
Number of orders
500
0
7:00
8:00
9:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
1-h interval
The distribution of orders by size is shown in figure 22. For a meaningful comparison of stocks, we categorise the size of each order with respect to the daily average volume (DAV) of the stock. We define DAV as the total traded volume in EUR in a day divided by the total number of trades completed on that day. We use the DAV calculated for the stock and the day to identify the following five size categories: ]0; 0.5] for orders whose size does not exceed half the DAV; ]0.5; 1] for orders whose size exceeds half the DAV but is still inferior to the DAV; ]1;5] for
79 An EDHEC Risk and Asset Management Research Centre Publication
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