The Informativeness of the Limit Order Book in a Periodic Call Market
نویسنده
چکیده
Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic call market. We find that the pre-call information variables, i.e., the market order and the radius of the limit order book, have significant impacts on the trade variables, i.e., the trading volume, the post-call bid-ask spread, and the trader surplus. Furthermore, we are able to show that the radius, as well as the market order, contains two differential forces in impacting on these trade variables. JEL classification: G10; G20
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