 Competition, signaling and non-walking through the book: Effects on order choiceMarcela Valenzuela and Ilknur Zer Journal of Banking & Finance, 2013, vol. 37, issue 12, 5421-5435 Abstract: We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes. Moreover, it dominates the signaling effect for both a limit order and a market order trader. Finally, we show that institutional investors’ order submission strategies are characterized by only a few pieces of the limit order book information. This is consistent with informed traders placing orders based on their own private valuations rather than the state of the book. Keywords: Limit order book; Order aggressiveness; Order-driven markets; Walking through the book; Competition; Signaling (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:12:p:5421-5435 DOI: 10.1016/j.jbankfin.2013.04.014 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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