The Information Content of Special Orders

37 Pages Posted: 5 Jun 2016

See all articles by Huu Nhan Duong

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Paul Lajbcygier

Monash University - Department of Banking & Finance

Van Hoang Vu

Department of Economics, Finance and Marketing, La Trobe University

Multiple version iconThere are 2 versions of this paper

Date Written: May 9, 2016

Abstract

We consider the role of special orders in informed traders’ order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means they do not require costly monitoring and are not visible to other traders. Due to the fact that informed institutional traders, including high-frequency traders, use aggressive special orders, they generate higher price impacts than normal orders, particularly in volatile markets.

Keywords: Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

JEL Classification: C35, G15, G25, G29

Suggested Citation

Duong, Huu Nhan and Lajbcygier, Paul and Vu, Van Hoang, The Information Content of Special Orders (May 9, 2016). Pacific-Basin Finance Journal, Forthcoming, FIRN Research Paper No. 2786185, Available at SSRN: https://ssrn.com/abstract=2786185

Huu Nhan Duong

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Paul Lajbcygier (Contact Author)

Monash University - Department of Banking & Finance ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Van Hoang Vu

Department of Economics, Finance and Marketing, La Trobe University ( email )

Melbourne, 3086
Australia

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