Undisclosed Orders and Market Quality
BI Norwegian Business School - Department of Financial Economics
December 2, 2011
This paper investigates the impact of undisclosed orders on market liquidity using an extensive dataset that covers more than seven years of order-book data. It tests most of the predictions of Buti and Rindi (2010) and finds that most of this models predictions are valid.In general it is found that undisclosed orders do not provide liquidity very often but when they do they provide a lot. As such, they provide market welfare and should be promoted by market regulators.
Number of Pages in PDF File: 80
Keywords: Market Microstructure, Market Quality, Undisclosed Orders
JEL Classification: G10, G19working papers series
Date posted: March 1, 2012
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