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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorHuang, Ruihongen
dc.date.accessioned2009-12-16-
dc.date.accessioned2010-12-15T09:22:09Z-
dc.date.available2010-12-15T09:22:09Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hebis:30-72720en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2009/23en
dc.subject.jelC32en
dc.subject.jelG14en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordPrice Impacten
dc.subject.keywordLimit Orderen
dc.subject.keywordImpulse Response Functionen
dc.subject.keywordCointegrationen
dc.subject.stwWertpapierhandelen
dc.subject.stwAuftragen
dc.subject.stwBörsenkursen
dc.subject.stwBid-Ask Spreaden
dc.subject.stwReaktionsfunktionen
dc.subject.stwKointegrationen
dc.subject.stwVAR-Modellen
dc.subject.stwSchätzungen
dc.subject.stwNiederlandeen
dc.titleThe market impact of a limit order-
dc.typeWorking Paperen
dc.identifier.ppn615090982en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200923en

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