Journal of Banking & Finance Vol. 34 No. 8 2010
Limit order revisions
Abstract
This paper empirically examines limit order revisions and cancellations which contribute to a significant portion of the order activity in many order-driven markets. We document that limit orders are more likely to be revised or cancelled if they are large and near the bid-ask quote. We show that order revisions generate net economic benefits to traders. Our evidence shows strong links between these activities and limit order submission risk using bid-ask spread, volatility and post-event return as proxies. We also find that these activities are less intense when the opportunity cost to monitor a stock is high, such as during lunch hours or when stock volume relative to the entire market is low.
- DOI
- 10.1016/j.jbankfin.2009.12.010
- Volume
- 34
- Issue
- 8
- Pages
- 1873-1885
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib