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Limit orders and the bid-ask spread

Citations

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Cited by:

  1. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1171-1217.
  2. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2021. "Price response functions and spread impact in correlated financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 94(4), pages 1-20, April.
  3. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
  4. Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
  5. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  6. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
  7. Ryan GARVEY & Fei WU, 2012. "Are Market Center Trading Cost Measures Reliable?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 505-517, December.
  8. repec:hum:wpaper:sfb649dp2011-044 is not listed on IDEAS
  9. Martínez, Miguel Ángel & Rubio, Gonzalo, 2000. "Understanding liquidity: a closer look at the limit order book," DEE - Working Papers. Business Economics. WB 9961, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  10. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," CAEPR Working Papers 2006-015, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  11. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
  12. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
  13. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
  14. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
  15. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
  16. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
  17. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
  18. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
  19. Jang, Woon Wook & Kim, Hak Kyum & Kang, Yong Joo, 2016. "Developing the exchange traded market for government bonds: Effect of recent quote rule changes in South Korea," Finance Research Letters, Elsevier, vol. 19(C), pages 130-138.
  20. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
  21. Jared F. Egginton & Bonnie F. Ness & Robert A. Ness, 2016. "Dealers and changing obligations: the case of stub quoting," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 919-941, November.
  22. Ryan Garvey & Fei Wu, 2012. "Are informed traders reluctant to bear price risk or execution risk?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 284-303, September.
  23. Gianluca Marcato & Charles Ward, 2007. "Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 599-622, December.
  24. Michael A. Goldstein & Kenneth A. Kavajecz, "undated". "Liquidity Provision during Circuit Breakers and Extreme Market Movements," Rodney L. White Center for Financial Research Working Papers 01-00, Wharton School Rodney L. White Center for Financial Research.
  25. Martin Angerer & Georg Peter & Sebastian Stoeckl & Thomas Wachter & Matthias Bank & Marco Menichetti, 2018. "Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 70(3), pages 209-230, July.
  26. Chung, Kee H. & Chuwonganant, Chairat, 2002. "Tick size and quote revisions on the NYSE," Journal of Financial Markets, Elsevier, vol. 5(4), pages 391-410, October.
  27. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
  28. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
  29. Min-Hsien Chiang & Tsai-Yin Lin & Chih-Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 1007-1038.
  30. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
  31. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
  32. Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
  33. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
  34. Davis, Ryan L. & Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert, 2017. "1-share orders and trades," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 109-117.
  35. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  36. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
  37. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  38. Kee H. Chung & Xin Zhao, 2003. "Intraday Variation in the Bid‐Ask Spread: Evidence after the Market Reform," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 191-206, June.
  39. Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de Economía.
  40. Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
  41. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
  42. MacKinnon, Greg & Nemiroff, Howard, 2004. "Tick size and the returns to providing liquidity," International Review of Economics & Finance, Elsevier, vol. 13(1), pages 57-73.
  43. Marios Panayides, 2004. "The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule," Yale School of Management Working Papers amz2384, Yale School of Management, revised 01 Aug 2006.
  44. Menkhoff, Lukas & Schmeling, Maik, 2008. "Local information in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1383-1406, December.
  45. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  46. Frino, Alex & Gerace, Dionigi & Lepone, Andrew, 2008. "Liquidity in auction and specialist market structures: Evidence from the Italian bourse," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2581-2588, December.
  47. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
  48. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
  49. Jie-Haun Lee & Whei-May Fan, 2014. "Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 97-119, July.
  50. Jiang, Christine X. & Kim, Jang-Chul & Zhou, Dan, 2011. "Liquidity, analysts, and institutional ownership," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 335-344.
  51. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
  52. Phillips Kugele, Lynn & McInish, Thomas H. & Van Ness, Bonnie F. & Van Ness, Robert A., 2000. "Competition from the limit order book and NYSE spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 31-42, January.
  53. Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu, 2018. "Market uncertainty and market orders in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 865-880, August.
  54. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
  55. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013, January-A.
  56. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, March.
  57. THIESSEN, Eric, 2000. "Trader Anonymity, Price Formation and Liquidity," HEC Research Papers Series 701, HEC Paris.
  58. Benjamin M. Blau & Bonnie F. Van Ness & Robert A. Van Ness, 2009. "Intraday Stealth Trading: Which Trades Move Prices During Periods Of High Volume?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(1), pages 1-21, March.
  59. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
  60. Eric Benhamou & Thomas Serval, 2000. "On the Competition Between ECNs, Stock Markets and Market Makers," FMG Discussion Papers dp345, Financial Markets Group.
  61. Nerissa C. Brown & Han Stice & Roger M. White, 2015. "Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws," Journal of Accounting Research, Wiley Blackwell, vol. 53(2), pages 275-329, May.
  62. Prommin, Panu & Jumreornvong, Seksak & Jiraporn, Pornsit & Tong, Shenghui, 2016. "Liquidity, ownership concentration, corporate governance, and firm value: Evidence from Thailand," Global Finance Journal, Elsevier, vol. 31(C), pages 73-87.
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