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Limit order revisions
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DOI：10.1016/j.jbankfin.2009.12.010.png)
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摘要
En 中文
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.
Keyword:
Limit orders
Free option risk
Non-execution risk
Limit order cancellation
Limit order revision
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
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OAAI
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JOURNAL OF FINANCE
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