Limit Order Book and Commonality in Liquidity
Obtaining a unique limit order dataset provided by NYSE, we find there exits significant commonality in the liquidity provided by the NYSE limit order book. We also examine how the commonality documented above can explain the commonality in bid-ask spread, and how this commonality in limit order book is related with the liquidity commonality contributed by specialist firm. We find that the cost-to-trade and the dispersion of individual stocks limit order book co-move with the corresponding aggregate market limit order book measures. On the limit order book, there is an asymmetric relationship between individual liquidity and market liquidity on bid- and ask-side: individual stock liquidity co-moves more with the market liquidity on the same side rather than the opposite side. Furthermore, the commonality in limit order book is significantly related to commonality in bid-ask spread.
Limit order book Commonality Liquidity
Wenjin Kang Huiping Zhang
Department of Finance and Accounting,NUS Business School,National University of Singapore
国际会议
大连
英文
1-46
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）