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http://hdl.handle.net/10419/43229
  

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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorHuang, Ruihongen_US
dc.date.accessioned2009-12-16en_US
dc.date.accessioned2010-12-15T09:22:09Z-
dc.date.available2010-12-15T09:22:09Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-72720-
dc.identifier.urihttp://hdl.handle.net/10419/43229-
dc.description.abstractDespite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid quotes and several levels of order book depth. Price impacts are estimated by means of appropriate impulse response functions. Analyzing order book data of 30 stocks traded at Euronext Amsterdam, we show that limit orders have significant market impacts and cause a dynamic (and typically asymmetric) rebalancing of the book. The strength and direction of quote and spread responses depend on the incoming orders' aggressiveness, their size and the state of the book. We show that the effects are qualitatively quite stable across the market. Cross-sectional variations in the magnitudes of price impacts are well explained by the underlying trading frequency and relative tick size.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/23en_US
dc.subject.jelC32en_US
dc.subject.jelG14en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordPrice Impacten_US
dc.subject.keywordLimit Orderen_US
dc.subject.keywordImpulse Response Functionen_US
dc.subject.keywordCointegrationen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwAuftragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwReaktionsfunktionen_US
dc.subject.stwKointegrationen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwNiederlandeen_US
dc.titleThe market impact of a limit orderen_US
dc.typeWorking Paperen_US
dc.identifier.ppn615090982en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200923-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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