Impact cost, an important liquidity measure, is tracked by both, the BSE and the NSE. The data is available during the first week of every month. The data to this can be accessed at the following links:
Impact Cost on BSE:
http://www.bseindia.com/mktlive/impact_cost.asp
Impact Cost on NSE:
http://www.nseindia.com/content/nsccl/C_CATG.T01
What is Impact Cost?
Ans. Impact Cost is the cost of undertaking a transaction. Higher the change in the price of a stock, for a given order size, higher its impact cost and vice versa. A stock with lower impact cost is said to be more liquid as compared to a stock with higher impact cost. For a detailed discussion on this topic refer to these two articles (with simplistic examples):
article 1:
http://www.nseindia.com/content/indices/ind_impactcost.htm
article 2:
http://www.mayin.org/ajayshah/MISC/lob-example.html
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