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Persistent link: https://www.econbiz.de/10010346754
We investigate the effect of broker anonymity on the information content of the limit order book on the Australian … Stock Exchange. We argue that the move to anonymity has stronger impact on institutional than individual investors. We … document that anonymity increases the informativeness of institutional limit orders about future volatility but has little …
Persistent link: https://www.econbiz.de/10010789911
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012179783
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models...
Persistent link: https://www.econbiz.de/10012754662
than individuals, especially in the anonymous market. Anonymity also reduces the “picked off” risk for individual limit …
Persistent link: https://www.econbiz.de/10013039380
We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...
Persistent link: https://www.econbiz.de/10012990831
This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual...
Persistent link: https://www.econbiz.de/10013028607
We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...
Persistent link: https://www.econbiz.de/10012936541
This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...
Persistent link: https://www.econbiz.de/10012902993