Clean Sweep: Informed Trading through Intermarket Sweep Orders
AbstractAn intermarket sweep order (ISO) is a limit order that automatically executes in a designated market center even if another market center is publishing a better quotation. An investor submitting an ISO must satisfy order-protection rules by concurrently submitting orders to the markets with better prices. We find that ISOs represent 46% of trades and 41% of volume in our sample. ISO trades have significantly larger information share despite their small trade size relative to non-ISO trades. Post trade return analysis suggests that informed institutions are the main users of ISO trades.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Purdue University, Department of Consumer Sciences in its series Working Papers with number 1005.
Length: 44 pages
Date of creation: Jan 2011
Date of revision:
Publication status: Forthcoming in the Journal of Financial and Quantitative Analysis, pp 1-45
Regulation NMS; Market Quality; Sweep Order; Flash orders;
Other versions of this item:
- Chakravarty, Sugato & Jain, Pankaj & Upson, James & Wood, Robert, 2012. "Clean Sweep: Informed Trading through Intermarket Sweep Orders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(02), pages 415-435, April.
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-BEC-2011-01-23 (Business Economics)
- NEP-ENT-2011-01-23 (Entrepreneurship)
- NEP-SBM-2011-01-23 (Small Business Management)
- NEP-TRA-2011-01-23 (Transition Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Demirguc-Kunt, Asli & Love, Inessa & Maksimovic, Vojislav, 2006.
"Business environment and the incorporation decision,"
Journal of Banking & Finance,
Elsevier, vol. 30(11), pages 2967-2993, November.
- Demirguc-Kunt, Asli & Love, Inessa & Maksimovic, Vojislav, 2004. "Business Environment and the Incorporation Decision," Policy Research Working Paper Series 3317, The World Bank.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sugato Chakravarty).
If references are entirely missing, you can add them using this form.