Order revelation at market openings

Archishman Chakraborty, Michael S. Pagano and Robert A. Schwartz

Journal of Financial Markets, 2012, vol. 15, issue 2, 127-150

Abstract: Order 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.

Keywords: Order revelation; Quantity revelation; Bookbuilding; Call auctions; Market microstructure; Transparency (search for similar items in EconPapers)
JEL-codes: D44 G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:15:y:2012:i:2:p:127-150

DOI: 10.1016/j.finmar.2011.08.002

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