The Evolution of Informed Liquidity Provision: Evidence from an Order-driven Market

Marvin Wee; Joey W. Yang

doi:10.1111/eufm.12082

The Evolution of Informed Liquidity Provision: Evidence from an Order-driven Market

Marvin Wee, Joey W. Yang

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

The liquidity provision strategies by institutional traders on the ASX have changed over the period 2006 to 2012. Besides using smaller-sized orders more frequently than their retail counterparts, they have increased the use of passive limit orders. Institutional traders are found to be more sensitive and responsive to changes in market conditions. Analyses on order placement and price impact suggest that institutional traders are better informed. However, their limit orders are found to have a lower price impact at the intra-day level in the 2012 subsample period. We show evidence this is associated with the proliferation of algorithmic and high frequency trading.

Original language	English
Pages (from-to)	882-915
Number of pages	34
Journal	European Financial Management
Volume	22
Issue number	5
DOIs	https://doi.org/10.1111/eufm.12082
Publication status	Published - 1 Nov 2016
Externally published	Yes

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10.1111/eufm.12082

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The Evolution of Informed Liquidity Provision: Evidence from an Order-driven Market

Abstract

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