Traders' choice between limit and market orders: Evidence from NYSE stocks

Journal of Financial Markets

Volumn 6, Issue 4, 2003, Pages 517-538

  Bae, Kee Hong ^a   Jang, Hasung ^a   Park, Kyung S ^a  

^a Korea University   (South Korea)

Author keywords

Limit orders; Market orders; Trader's choice

Indexed keywords

EID: 0041340756     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00047-2     Document Type: Article

References (27)

1. Ahn H. Bae K.-H. Chan K. Limit orders, depth and volatility Journal of Finance 55 2000 769-790
2. Biais B. Hillion P. Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse Journal of Finance 50 1995 1655-1689
3. Chakravarty S. Holden C. An integrated model of market and limit orders Journal of Financial Intermediation 4 1996 213-241
4. Chung K. Van Ness B. Van Ness B. Limit orders and the bid-ask spread Journal of Financial Economics 53 1999 255-287
5. Cohen K. Maier S. Schwartz R. Whitcomb D. Transaction costs, order placement strategy and the existence of the bid-ask spread Journal of Political Economy 89 1981 287-305
6. Copeland T. Galai D. Information effects and the bid-ask spread Journal of Finance 38 1983 1457-1469
7. Easley D. O'Hara M. Price, trade size and information in securities markets Journal of Financial Economics 19 1987 69-90
8. Foucault T. Order flow composition and trading costs in a dynamic limit order market Journal of Financial Markets 2 1999 193-226
9. Glosten L. Is the electronic open limit order book inevitable? Journal of Finance 49 1994 1127-1161
10. Glosten L. Milgrom P. Bid, ask, transaction prices in a specialist market with heterogeneously informed traders Journal of Financial Economics 14 1985 71-100
11. Goldstein, M., Kavajecz, K., 2000. Liquidity provision during circuit breakers and extreme market movements. Working paper, University of Pennsylvania.
12. Handa P. Schwartz R. Limit order trading Journal of Finance 51 1996 1835-1861
13. Handa, P., Schwartz, R., Tiwari, A., 1998. Determinants of the bid-ask spread in an order driven market. Working paper, University of Iowa.
14. Harris, L., 1994. Optimal dynamic order submission strategies in some stylized trading problems. Working paper, University of Southern California.
15. Harris L. Hasbrouck J. Market vs. limit orders: the SuperDOT evidence on order submission strategy Journal of Financial and Quantitative Analysis 31 1996 213-231
16. Hasbrouck, J., 1992. Using the TORQ database. Working paper, New York University.
17. Hasbrouck, J., 1996. Modeling market microstructure time series. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Vol. 14, pp. 647-692.
18. Hollifield, B., Miller, R., Sandas, P., 1999. Empirical analysis of limit order markets. Working paper, Carnegie Mellon University.
19. Hollifield, B., Miller, R., Sandas, P., 2001. Liquidity supply and demand: empirical evidence from the Vancouver Stock Exchange. Working paper, Carnegie Mellon University.
20. Keim D. Madhaven A. Anatomy of the trading process: empirical evidence on the behavior of institutional traders Journal of Financial Economics 37 1995 371-398
21. Kumar, P., Seppi, D., 1994. Limit and market orders with optimizing traders. Working paper, Carnegie Mellon University.
22. Kyle A. Continuous auctions and insider trading Econometrica 53 1995 1315-1336
23. Parlour C. Price dynamics in limit order markets Review of Financial Studies 11 1998 789-816
24. Parlour, C., Seppi, D., 1998. Liquidity based competition for the order flow. Working paper, Carnegie Mellon University.
25. Sandas, P., 2000. Adverse selection and competitive market making: empirical evidence from a limit order market. Review of Financial Studies, forthcoming.
26. Seppi D. Liquidity provision with limit orders and a strategic specialist Review of Financial Studies 10 1997 103-150
27. Viswanathan, S., Wang, J., 1998. Market architecture: limit-order books versus dealership markets. Working paper, Duke University.