Informed and Uninformed Trading in an Electronic, Order-Driven Environment

Posted: 19 Oct 2000

See all articles by Paul Brockman

Paul Brockman

Lehigh University - College of Business

Dennis Y. Chung

Simon Fraser University

Abstract

The purpose of our study is to investigate the trading behavior of informed and uninformed investors in a screen-based, order-driven environment. As more and more exchanges conduct trading through electronic limit-order books, it is increasingly important to analyze consequent trading behavior and its impact on the liquidity provision process. We examine one of the largest electronic, order-driven markets in the world, the Stock Exchange of Hong Kong. Our findings show that the interaction of informed and uninformed traders plays a significant role in determining corporate liquidity.

JEL Classification: G15

Suggested Citation

Brockman, Paul and Chung, Dennis Y., Informed and Uninformed Trading in an Electronic, Order-Driven Environment. Financial Review, Vol. 35, No. 2, pp. 125-146, 2000. Available at SSRN: https://ssrn.com/abstract=241911

Paul Brockman

Lehigh University - College of Business ( email )

Bethlehem, PA 18015
United States

Dennis Y. Chung (Contact Author)

Simon Fraser University ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

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