Limit order revisions

被引:38
作者
Fong, Kingsley Y. L. [1 ]
Liu, Wai-Man [2 ]
机构
[1] Univ New S Wales, Sch Banking & Finance, Australian Sch Business, Sydney, NSW 2052, Australia
[2] Australian Natl Univ, Sch Finance Actuarial Studies & Appl Stat, Coll Business & Econ, Canberra, ACT 0200, Australia
关键词
Limit orders; Free option risk; Non-execution risk; Limit order cancellation; Limit order revision; MARKET;
D O I
10.1016/j.jbankfin.2009.12.010
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper empirically examines limit order revisions and cancellations which contribute to a significant portion of the order activity in many order-driven markets. We document that limit orders are more likely to be revised or cancelled if they are large and near the bid-ask quote. We show that order revisions generate net economic benefits to traders. Our evidence shows strong links between these activities and limit order submission risk using bid-ask spread, volatility and post-event return as proxies. We also find that these activities are less intense when the opportunity cost to monitor a stock is high, such as during lunch hours or when stock volume relative to the entire market is low. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码:1873 / 1885
页数:13
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