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

Author:

Ahn Hee-Joon,Bae Kee-Hong,Chan Kalok

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference25 articles.

1. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

2. Tick size, share prices, and stock splits;Angel;Journal of Finance,1997

3. An empirical analysis of the limit order book and the order flow in the Paris Bourse;Biais;Journal of Finance,1995

4. An integrated model of market and limit orders;Chakravarty;Journal of Financial Intermediation,1996

5. Limit orders and the bid-ask spread;Chung;Journal of Financial Economics,1999

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