So what orders do informed traders use?

Journal of Business

Volumn 79, Issue 4, 2006, Pages 1867-1913

  Kaniel, Ron ^a   Liu, Hong ^b  

^a DUKE UNIVERSITY   (United States)

^b WASHINGTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33748560495     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/503651     Document Type: Article

References (37)

1. Anand, Amber, Sugato Chakravarty, and Terry Martell. 2004. Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. Unpublished manuscript, Syracuse University.
2. Angel, Jim. 1994. Limit orders versus market orders. Unpublished manuscript, Georgetown University.
3. Bae, Kee-Hong, Hasung Jang, and Kyung S. Park. 2003. Traders' choice between limit and market orders: Evidence from NYSE stocks. Journal of Financial Markets 6:517-38.
4. Beber, Alessandro, and Cecilia Caglio. 2004. Order submission strategies and information: Empirical evidence from the NYSE. Unpublished manuscript, University of Lausanne.
5. Biais, Bruno, Pierre Million, and Chester Spatt. 1995. An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance 50:1655-89.
6. Bloomtield, Robert, Maureen O'Hara, and Gideon Saar. 2003. The "make or take" decision in an electronic market: Evidence on the evolution of liquidity. Unpublished manuscript. New York University, Stem School of Business.
7. Chakravarty, Sugato, and Craig Holden. 1995. An integrated model of market and limit orders. Journal of Financial Intermediation 4:213-41.
8. Chan, Louis K. C., and Josef Lakonishok. 1993. Institutional trades and stock price behavior. Journal of Financial Economics 33:173-99.
9. Easley, David, N. Kiefer, and Maureen O'Hara. 1996. Cream-skimming or profit-sharing? The curious role of purchased order flow. Journal of Finance 51:811-33.
10. Easley, David, N. Kiefer, Maureen O'Hara, and J. Paperman. 1996. Liquidity, information, and less-frequently traded stocks. Journal of Finance 51:1405-36.
11. Easley, David, and Maureen O'Hara. 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19:69-90.
12. _. 1991. Order form and information in security markets. Journal of Finance 47:577-606.
13. Ellul, Andrew, Craig W. Holden, Pankaj Jain, and Robert H. Jennings. 2003. Determinants of order choice on the New York Stock Exchange. Unpublished manuscript, Indiana University.
14. Foucault, Thierry. 1999. Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets 2:99-134.
15. Foucault, Thierry, Ohad Kadan, and Eugene Kandel. 2002. Limit order book as a market for liquidity. Unpublished manuscript, Washington University.
16. Glosten, Lawrence R. 1994. Is the electronic open limit order book inevitable? Journal of Finance 49:1127-61.
17. Glosten, Lawrence R., and Paul Milgrom. 1985. Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents. Journal of Financial Economics 14:71-100.
18. Hamao, Yasushi, and Joel Hasbrouck. 1995. Securities trading in the absence of dealers: Trades and quotes on the Tokyo Stock Exchange. Review of Financial Studies 8:849-78.
19. Handa, Puneet, and Robert A. Schwartz. 1996. Limit order trading. Journal of Finance 51:1835-61.
20. Harris, Lawrence. 1998. Optimal dynamic order submission strategies in some stylized trading problems. Financial Markets, Institutions and Instruments 7:1-76.
21. Harris, Lawrence, and Joel Hasbrouck. 1996. Market vs. limit orders: The SuperDOT evidence of order submission strategy. Journal of Financial and Quantitative Analysis 31:213-33.
22. Hasbrouck, Joel. 1996. Order characteristics and stock price evolution: An application to program trading. Journal of Financial Economics 46:179-208.
23. Hasbrouck, Joel, and George Sofianos. 1993. The trades of market makers: An empirical analysis of NYSE specialists. Journal of Finance 48:1565-93.
24. Hasbrouck, Joel, and Deborah Sosebee. 1992. Orders, trades, reports and quotes at the NYSE. Unpublished manuscript, New York Stock Exchange.
25. Hollifield, Burton, Robert Miller, Patrick Sandas, and J. Slive. 2002. Liquidity supply and demand in limit order markets. Unpublished manuscript, University of Pennsylvania, Wharton School.
26. Hong, Harrison, and Jiang Wang. 2000. Trading and returns under periodic market closures. Journal of Finance 55:297-354.
27. Huang, Roger D., and Hans R. Stoll. 1996. Dealer vs. auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 43:313-57.
28. Kavajecz, Kenneth, and Elizabeth R. Odders-White. 2001. An examination of changes in specialists' posted price schedules. Review of Financial Studies 14:681-704.
29. Keim, Donald B., and Ananth Madhavan. 1995. Institutional trades and intraday stock price behavior. Journal of Financial Economics 37:371-98.
30. Kumar, Praveen, and Duane Seppi. 1993. Limit and market orders with optimizing traders. Unpublished manuscript, Carnegie Mellon University.
31. Madhavan, Ananth, Matthew Richardson, and Mark Roomans. 1997. Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies 10:1035-64.
32. Madhavan, Ananth, and Seymour Smidt. 1991. A Bayesian model of intraday specialist pricing. Journal of Financial Economics 30:99-134.
33. McInish, Thomas H., and Robert Wood. 1995. Hidden limit orders on the NYSE. Journal of Portfolio Management 21:19-26.
34. Parlour, Christine. 1998. Price dynamics in limit order markets. Review of Financial Studies 11: 789-816.
35. Rock, Kevin. 1990. The specialists order book and price anomalies. Unpublished manuscript, Harvard University.
36. Rubinstein, Mark. 1985. Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978. Journal of Finance 40:455-80.
37. Saar, Gideon. 2001. Price impact asymmetry of block trades: An institutional trading explanation. Review of Financial Studies 14:1153-81.