Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong
研究纯订单驱动市场中限价订单对流动性的作用，发现暂时性波动增加后市场深度上升，反之亦然，且波动来源影响订单类型选择。
ABSTRACT We investigate the role of limit orders in the liquidity provision in a pure order‐driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market depth. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders. This result is consistent with the existence of limit‐order traders who enter the market and place orders when liquidity is needed.