Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures-Reference-Cited by-同舟云学术

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Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

Published:2012-11-28 Issue:2 Volume:34 Page:145-172
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Chiu Junmao¹,Chung Huimin²,Wang George H. K.³

Affiliation:

1. Junmao Chiu is a Ph.D. Associate at the Graduate Institute of Finance; National Chiao Tung University; Taiwan

2. Huimin Chung is a Professor of Finance at the Graduate Institute of Finance; National Chiao Tung University; Taiwan

3. George H. K. Wang is the Research Professor of Finance at the School of Management; George Mason University; Fairfax Virginia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference29 articles.

1. Limit orders, depth, and volatility: Evidence from the Stock Exchange of Hong Kong;Ahn;Journal of Finance,2001

2. Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders;Anand;Journal of Financial Markets,2005

3. Traders’ choice between limit and market orders: Evidence from NYSE stocks;Bae;Journal of Financial Markets,2003

4. Just how much do individual investor loss by trading?;Barber;Review of Financial Studies,2009

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

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