Arbeitspapier
Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?
We show that the excessive use of hidden orders causes artificial price pressures and abnormal asset returns. Using a simple game-theoretical setting, we demonstrate that this effect naturally arises from mis-coordination in trading schedules between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and relative tick sizes are higher.
- Sprache
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Englisch
- Erschienen in
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Series: Discussion Paper ; No. 28
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
Hidden liquidity
trade synchronization
trading frictions
counterparty attraction
limit order book
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cebirogly, Gökhan
Hautsch, Nikolaus
Horst, Ulrich
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
- (wo)
-
München und Berlin
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cebirogly, Gökhan
- Hautsch, Nikolaus
- Horst, Ulrich
- Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
Entstanden
- 2017
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