Limit Orders, Depth And Volatility : Evidence From The Stock Exchange of Hong Kong  

Oleh:

Hee-John Ahn ; Kee-Hong Bae ; Chan, Kalok

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 767-788.
Topik: STOCK EXCHANGE; volatility; stock exchanges; liquidity; studies; regression analysis; mathematical models; securities trading
Fulltext: p 767.pdf (195.86KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The role of limit orders in the liquidity provision is investigated in a pure order-driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market depth. How transitory volatility affects the mix between limit order and market orders is also examined. When transitory volatility arises from the ask side, investors will submit more limited sell orders than market sell orders. This result is consistent with the existence of limit-order traders who enter the market and place orders when liquidity is needed.

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