The impact of undisclosed versus disclosed limit orders: Evidence from inter-day returns, signalling, information effects on the ASX
Business and Economics Society International
Faculty of Business and Law
School of Accounting, Finance and Economics
We investigate the information content of undisclosed orders (ULOs) and limit orders on the Australian Stock Exchange. ULOs apply to orders of 200,000 plus. We examine the impact of ULO submissions, cancellations and executions over daily intervals, The ASX recently abolished the use ofULOs in favour of iceberg orders, Our inter-day analysis uses daily returns and daily order imbalances. The results suggest past daily returns have a significant negative impact upon future daily disclosed order imbalances and ULO imbalances. Future daily returns show little relation to previous daily returns, daily ULO imbalances, or daily disclosed order imbalances.