The information content of special orders

Huu Nhan Duong, Paul Lajbcygier and Van Hoang Vu

Pacific-Basin Finance Journal, 2017, vol. 45, issue C, 68-81

Abstract: We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-and-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means they do not require costly monitoring and are not visible to other traders. Due to the fact that informed institutional traders, including high-frequency traders, use aggressive special orders, they generate higher price impacts than normal orders, particularly in volatile markets.

Keywords: Fill-and-Kill orders; All-or-Nothing orders; Institutional investors; Price impact; High frequency trading (search for similar items in EconPapers)
JEL-codes: C35 G15 G29 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:45:y:2017:i:c:p:68-81

DOI: 10.1016/j.pacfin.2016.05.012

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