Limit order revisions

Kingsley Y.L. Fong and Wai-Man Liu

Journal of Banking & Finance, 2010, vol. 34, issue 8, 1873-1885

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.

Keywords: Limit; orders; Free; option; risk; Non-execution; risk; Limit; order; cancellation; Limit; order; revision (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:8:p:1873-1885

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