限價委託單的資訊含量
Other Title
The information content of limit orders
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002037
Abstract
This study examines the limit order in order-driven markets. While most
previous research assumes that market makers or investors submit limit orders to
provide liquidity, some assume that informed investors would choose to submit limit
orders. This study provides evidence on the information content of limit orders.
Under different motivations of investors, this study provides testable hypotheses
and associated evidence. In particular, it uses the time-series relation between limit
orders, market orders, bid-ask quotes, and transaction prices to test hypotheses. It also
distinguishes new orders from existing ones on the book.
Subjects
limit order
private information
quote
price
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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