Who cancels in electronic markets?

We study differences in trading between US equity market participants with high and low cancellation activity. Traders with high (low) cancellation rates are significant net suppliers (takers) of liquidity and, overall, less (more) informed about future prices. The findings suggest that recent US government considerations to impose a fee on traders who cancel often could, if enacted, adversely impact market liquidity.

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Year of publication:	2012
Authors:	Garvey, Ryan ; Wu, Fei
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 12, p. 1161-1164
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010548753