Order revelation at market openings
AbstractOrder revelation is a non-trivial process that depends on a market's rules of order handling and order information disclosure. As participants reveal their orders for a stock to a market, the book gets deeper, price is discovered, and trading volume (quantity) is “found.” However, for large participants, uncertainty about the profile of other traders in the market inhibits their order revelation, thereby distorting trading volume and reducing the gains from trade. These inefficiencies are mitigated when participants can place multiple orders, and when submitted orders are displayed in an open book that effectively permits participants to engage in non-binding pre-trade communication.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 15 (2012)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/finmar
Order revelation; Quantity revelation; Bookbuilding; Call auctions; Market microstructure; Transparency;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
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