Clean Sweep: Informed Trading through Intermarket Sweep Orders

Sugato Chakravarty (), Pankaj Jain, James Upson () and Robert Wood ()
Additional contact information
James Upson: University of Texas, El Paso
Robert Wood: University of Memphis

No 1007, Working Papers from Purdue University, Department of Consumer Sciences

Abstract: An intermarket sweep order (ISO) is a limit order that automatically executes in a designated market center even if another market center is publishing a better quotation. An investor submitting an ISO must satisfy order-protection rules by concurrently submitting orders to the markets with better prices. We find that ISOs represent 46% of trades and 41% of volume in our sample. ISO trades have significantly larger information share despite their small trade size relative to non-ISO trades. Post trade return analysis suggests that informed institutions are the main users of ISO trades.

Keywords: Regulation NMS; Market Quality; Sweep Order; Flash orders (search for similar items in EconPapers)
JEL-codes: D82 G21 O16 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-01
New Economics Papers: this item is included in nep-cbe, nep-exp, nep-gth and nep-soc
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Forthcoming in the Journal of Financial and Quantitative Analysis, pp 1-45

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Related works:
Journal Article: Clean Sweep: Informed Trading through Intermarket Sweep Orders (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:csr:wpaper:1007

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