Valenzuela, Marcela and Zer, Ilknur (2013) Competition, signaling and non-walking through the book: effects on order choice. Journal of Banking and Finance, 37 (12). pp. 5421-5435. ISSN 0378-4266
Full text not available from this repository.Abstract
We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes. Moreover, it dominates the signaling effect for both a limit order and a market order trader. Finally, we show that institutional investors' order submission strategies are characterized by only a few pieces of the limit order book information. This is consistent with informed traders placing orders based on their own private valuations rather than the state of the book.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-bankin... |
| Additional Information: | © 2013 Elsevier B.V. |
| Divisions: | Finance Financial Markets Group |
| Subjects: | H Social Sciences > HF Commerce H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets G - Financial Economics > G1 - General Financial Markets > G19 - Other G - Financial Economics > G2 - Financial Institutions and Services > G20 - General |
| Date Deposited: | 07 Jun 2013 14:33 |
| Last Modified: | 20 Nov 2024 22:36 |
| URI: | http://eprints.lse.ac.uk/id/eprint/50691 |
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