Abstract
This paper investigates public-trader order-placement strategies by examining the relations between the state of the limit-order book and previous price movements. There is support for an information effect, as traders become more aggressive in buying and more patient in selling after previous positive stock returns. The widening of the bid-ask spread also causes traders to place less aggressive orders. However, there is no evidence of the options effect on limit-order trading. This study also reveals that orders at the best quotes react faster and complete the adjustment earlier than orders that are far away from the best quotes.
Original language | English |
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Pages (from-to) | 195-221 |
Number of pages | 27 |
Journal | Financial Review |
Volume | 40 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Jan 2005 |
Keywords
- D82
- G10
- Information effect
- Limit-order book
- Order-placement strategies
- Stock exchange of Hong Kong
ASJC Scopus subject areas
- Finance
- Economics and Econometrics