Document Type
Conference Proceeding
Publisher
Modelling and Simulation Society of Australia and New Zealand
Faculty
Faculty of Business and Public Management
School
School of Accounting, Finance and Business Economics
RAS ID
2259
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.
Access Rights
free_to_read
Comments
This is an Author's Accepted Manuscript of: 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. Available here