The information content of an open limit‐order book
Oliver Hansch and
Journal of Futures Markets, 2009, vol. 29, issue 1, 16-41
Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately informative—its contribution to price discovery is approximately 22%. The remaining 78% is from the best bid and offer prices on the book and the last transaction price. Furthermore, the authors find that order imbalances between the demand and supply schedules along the book are significantly related to future short‐term returns, even after controlling for the autocorrelations in return, the inside spread, and the trade imbalance. ©2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:16–41, 2009
References: Add references at CitEc
Citations: View citations in EconPapers (30) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().