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Liquidity supply in electronic markets

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  • Aitken, Michael
  • Almeida, Niall
  • deB. Harris, Frederick H.
  • McInish, Thomas H.

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  • Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
    • Handle: RePEc:eee:finmar:v:10:y:2007:i:2:p:144-168
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    References listed on IDEAS

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    2. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
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    7. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
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    10. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 327-341, June.
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    12. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    13. Handa, Puneet & Schwartz, Robert A, 1996. "Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-1861, December.
    14. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
    15. GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," LIDAM Discussion Papers CORE 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
    17. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
    18. Handa, Puneet & Schwartz, Robert & Tiwari, Ashish, 2003. "Quote setting and price formation in an order driven market," Journal of Financial Markets, Elsevier, vol. 6(4), pages 461-489, August.
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    Cited by:

    1. Michael Aitken & Frederick Harris & Shan Ji, 2015. "A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency," Journal of Business Ethics, Springer, vol. 132(1), pages 147-170, November.
    2. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
    3. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
    4. Yamamoto, Ryuichi, 2014. "An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 369-383.
    5. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2019-011, Indira Gandhi Institute of Development Research, Mumbai, India.
    6. Chiu, Junmao & Chen, Chin-Ho, 2023. "Limit order revisions across investor sophistication," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 74-90.
    7. Gousgounis, Eleni & Onur, Esen, 2018. "The effect of pit closure on futures trading," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 69-90.
    8. Orlowski, Lucjan T., 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, vol. 25(C), pages 3-9.
    9. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    10. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
    11. Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti & Tom Smith, 2016. "Transaction costs in an illiquid order-driven market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 917-933, December.
    12. Michael Aitken & Niall Almeida & Frederick H. deB. Harris & Thomas H. McInish, 2008. "Financial analysts and price discovery," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(1), pages 1-24, March.
    13. Duong, Huu Nhan & Lajbcygier, Paul & Vu, Van Hoang, 2017. "The information content of special orders," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 68-81.
    14. Pantisa Pavabutr & Sukanya Prangwattananon, 2009. "Tick size change on the Stock Exchange of Thailand," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 351-371, May.
    15. Smales, Lee A., 2016. "Order aggressiveness of different broker-types in response to monetary policy news," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 367-383.
    16. Yamamoto, Ryuichi, 2020. "Limit order submission risks, order choice, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    17. Alexandre Aidov & Olesya Lobanova, 2021. "The Relation between Intraday Limit Order Book Depth and Spread," IJFS, MDPI, vol. 9(4), pages 1-13, November.
    18. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
    19. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
    20. Thomas H. McInish & Olena Nikolsko‐Rzhevska & Alex Nikolsko‐Rzhevskyy & Irina Panovska, 2020. "Fast and slow cancellations and trader behavior," Financial Management, Financial Management Association International, vol. 49(4), pages 973-996, December.
    21. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
    22. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
    23. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.

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