TY - JOUR
T1 - Limit orders, depth, and volatility
T2 - Evidence from the stock exchange of Hong Kong
AU - Ahn, Hee-Joon
AU - Bae, Kee-Hong
AU - Chan, Kalok
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2001/4
Y1 - 2001/4
N2 - We investigate the role of limit orders in the liquidity provision 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. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders. This result is consistent with the existence of limit-order traders who enter the market and place orders when liquidity is needed.
AB - We investigate the role of limit orders in the liquidity provision 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. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) 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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U2 - 10.1111/0022-1082.00345
DO - 10.1111/0022-1082.00345
M3 - RGC 21 - Publication in refereed journal
SN - 0022-1082
VL - 56
SP - 767
EP - 788
JO - Journal of Finance
JF - Journal of Finance
IS - 2
ER -