Title

Liquidity Distribution in the Limit Order Book on the Stock Exchange of Thailand

Publication Type

Journal Article

Publication Date

2008

Abstract

The liquidity distribution, or the shape of the limit order book, influences trading behavior and choice of order submission by public liquidity suppliers. The present study seeks to discover whether liquidity providers are concerned about being picked off by informed traders, and whether they are less willing to supply liquidity at the market or demand higher price spreads. The results show that liquidity at the market is a small portion of total liquidity, and that firm size, minimum tick size, volatility, and trading volume play significant roles in determining the liquidity distribution within an order book.

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

International Review of Financial Analysis

Volume

17

Issue

2

First Page

291

Last Page

311

ISSN

1057-5219

Identifier

10.1016/j.irfa.2005.09.005

Publisher

Elsevier