Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong

By Hee-Joon Ahn, Kee‐Hong Bae, Kalok Chan. 2001

309 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/16dc5ec202bcd1de578c314a8dfde66b6f0a1513

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

The Price Impact of Order Book Events (2010, unknown): “ntraday patterns The link that we established between the price impact and the market depth has an important implication. Since the market depth follows a predictable pattern of intraday seasonality ([1], [31]), the price impact coecient must also have a predictable intraday pattern. To demonstrate ”
Limit-Order Submission Strategies under Asymmetric Information (2010, methodology): “1995), the Stock Exchange of Hong Kong (Ahn et al. 2001); see also Akram et al. (2009) and Ranaldo (2009). We aggregate buy and sell orders because their placement patterns did not differ much, in contrast to the Swiss Stock Exchange (Ranaldo 2004).”
Weather and intraday patterns in stock returns and trading activity (2008, background): “Moreover, market depth is found to be negatively related to volatility in the literature (Bessembinder and Seguin, 1993; Ahn et al., 2001; Goldstein and Kavajecz, 2004).”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, unknown): “A number of empirical studies have sought to characterize limit order markets (e.g., Hamao and Hasbrouck (1995), Biais, Hillion, and Spatt (1995), Ahn, Bae, and Chan (2001), Biais, Bisiere, and Spatt (2003), and Hollifield (2004)).”
Equilibrium in a Dynamic Limit Order Market (2005, unknown): “The last term is zero (since innovations in the consensus value have mean zero), yielding the expression in (1).”
Herding and information based trading (2009, methodology): “We use bid/ask quotes and trade records from the Hong Kong Stock Exchange, which is a purely order-driven market (see Ahn et al., 2001, for details). It is an extremely transparent trading systemwith very low transaction costs. The emphasis from O′Hara (1995) on the impact that market transparency h”
Traders’ choice between limit and market orders: evidence from NYSE stocks (2003, unknown): “Ahn et al. (2000) use this measure of volatility in their analysis of limit-order trading of the Stock Exchange of Hong Kong.”
The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange (2002, background): “Ahn et al. (2001) analyze the interaction between transitory volatility and order flow composition in a limit-order market. Chung et al. (1999) and Kavajecz (1999) examine whether quoted spreads reflect the trading interest of specialists or limit-order traders.(2) The purpose of this paper is to ex”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “Ranaldo (2004) finds that increased recent volatility is associated with more aggressive orders, while Handa and Schwartz (1996) and Ahn, Bae, and Chan (2001) find that increased recent volatility induces more liquidity provision, consistent with the theoretical prediction in Foucault…”
Limit Order Markets: A Survey 1 (2008, background): “Furthermore, Ahn, Bae, and Chan (2001) find that the volume of limit order submissions is increasing in price volatility.”