search query: @author Bae, K-H. / total: 3
reference: 3 / 3
« previous | next »
| Author: | Ahn, H-J. Bae, K-H. Chan, K. |
| Title: | Limit orders, depth, and volatility; evidence from the stock exchange of Hong Kong |
| Journal: | Journal of Finance
2001 : APR, VOL. 56:2, p. 767-788 |
| Index terms: | VOLATILITY HONG KONG |
| Freeterms: | LIMIT ORDERS MARKET DEPTH MARKET ORDERS |
| Language: | eng |
| Abstract: | The authors investigate the role of limit orders in the liquidity provision in a pure order-driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market orders. |
« previous | next »
SCIMA