Competition, signaling and non-walking through the book: Effects on order choice
Author
dc.contributor.author
Valenzuela, Marcela
Author
dc.contributor.author
Zer, Ilknur
es_CL
Admission date
dc.date.accessioned
2014-01-07T20:43:39Z
Available date
dc.date.available
2014-01-07T20:43:39Z
Publication date
dc.date.issued
2013
Cita de ítem
dc.identifier.citation
Journal of Banking & Finance 37 (2013) 5421–5435
en_US
Identifier
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doi: 10.1016/j.jbankfin.2013.04.014
Identifier
dc.identifier.uri
https://repositorio.uchile.cl/handle/2250/126028
General note
dc.description
Artículo de publicación ISI
en_US
Abstract
dc.description.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.