Document Type

Conference Proceeding

Publisher

Modelling and Simulation Society of Australia and New Zealand

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

2259

Comments

This article was originally published as: Aitken, M., Allen, D. E., & Yang, W. (2003). Some evidence on the information content of undisclosed limit orders on the ASX. Proceedings of Modelling and Simulation Society of Australia and New Zealand International Congress on Modelling and Simulation. (pp. 1215-1220). Townsville, Qld. Modelling and Simulation Society of Australia and New Zealand. Original article available here

Abstract

This paper is concerned with investigating the information content of undisclosed limit orders, identifying factors that affect their sizes, and examining brokers’ behavior in using undisclosed orders. Our estimation results from a sample stocks listed on the ASX indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern observed in large disclosed limit orders, this paper provides evidence to support a similar pattern in the case of undisclosed limit orders as well. Our model also provides a statistical measure for estimating the size of undisclosed orders.

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