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Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M. Aitken, David E. Allen, Wenling J. Yang
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M. Aitken, David E. Allen, Wenling J. Yang
Research outputs pre 2011
This paper is concerned with investigating the information content of undisclosed limit orders, and identifying factors that affect their size, plus the examination of the brokers’ behaviour in using undisclosed orders. We adopt a sample of liquid stocks listed on the ASX, and our estimation results indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern of behaviour observed in large disclosed orders, this paper provides evidence to support a similar pattern of behaviour in the case of undisclosed orders. Our model also provides an appropriate measure for estimating the size …
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M Aitken, David E. Allen, Wenling Yang
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M Aitken, David E. Allen, Wenling Yang
Research outputs pre 2011
This paper is concerned with investigating the information content of undisclosed limit orders, identifying factors that affect their sizes, and examining brokers’ behavior in using undisclosed orders. Our estimation results from a sample stocks listed on the ASX indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern observed in large disclosed limit orders, this paper provides evidence to support a similar pattern in the case of undisclosed limit orders as well. Our model also provides a statistical measure for estimating the size of undisclosed orders.