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Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange [An article from: Global Finance Journal]
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This digital document is a journal article from Global Finance Journal, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper examines the intraday behavior of market liquidity on the TSE. It shows that spread follows U-shaped intraday pattern, depth displays opposite pattern, while volume is low at the open, stable during the day and increases at the close. The paper finds evidence that spread and depth are negatively correlated, suggesting that limit-order traders actively manage both price and quantity dimensions of liquidity to protect themselves from informed trades. Furthermore, it finds that there is price improvement on the TSE. Finally, it shows that liquidity is inversely related to volatility but directly related to volume.
Description:
This paper examines the intraday behavior of market liquidity on the TSE. It shows that spread follows U-shaped intraday pattern, depth displays opposite pattern, while volume is low at the open, stable during the day and increases at the close. The paper finds evidence that spread and depth are negatively correlated, suggesting that limit-order traders actively manage both price and quantity dimensions of liquidity to protect themselves from informed trades. Furthermore, it finds that there is price improvement on the TSE. Finally, it shows that liquidity is inversely related to volatility but directly related to volume.
