Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets

Simple item page
dc.contributor.authorChiang, Min-Hsien
dc.contributor.authorLin, Tsai-Yin
dc.contributor.authorYu, Jerry
dc.date.accessioned2017-10-11T13:49:40Z
dc.date.available2017-10-11T13:49:40Z
dc.date.issued2009-09
dc.description.abstractThis study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets and the effect of institutional trading on liquidity provision behavior are examined as well. The empirical results demonstrate that subsequent market depth increases as transient volatility increases in bull markets. Market depth exhibits significantly positive relationship to subsequent transient volatility in bull markets. Additionally, although trading volume positively influences transient volatility in bull markets, no such relationship exists in bear markets. Liquidity provision decreases when institutional trading activity intensifies during bear markets. Thus, liquidity provision for limit orders differs between bull and bear markets.en_US
dc.format.extent32 pagesen_US
dc.genrejournal articlesen_US
dc.identifierdoi:10.13016/M20V89J5M
dc.identifier.citationChiang, M. H., Lin, T. Y., & Yu, C. H. J. (2009). Liquidity provision of limit order trading in the futures market under bull and bear markets. Journal of Business Finance & Accounting, 36(7‐8), 1007-1038.en_US
dc.identifier.urihttp://hdl.handle.net/11603/7282
dc.language.isoen_USen_US
dc.publisherJournal of Business Finance & Accountingen_US
dc.relation.isAvailableAtUniversity of Baltimore
dc.subjectmarket depthen_US
dc.subjectlimit orderen_US
dc.subjectbull and bear marketsen_US
dc.subjectinstitutional tradingen_US
dc.subjectliquidityen_US
dc.titleLiquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Marketsen_US
dc.typeTexten_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
SSRN-id1486372.pdf
Size:
763.84 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

UBalt Faculty Scholarship


Robert L. Bogomolny Library
University of Baltimore
1420 Maryland Ave.
Baltimore, MD 21201
Email: knowledgeworks@ubalt.edu

If you wish to submit a copyright complaint or withdrawal request, please email mdsoar-help@umd.edu.