Limit Order Trading and Information Asymmetry: Empirical Evidence about the Evolution of Liquidity on an Order Driven Market

This paper is concerned with investigating the order placement behaviour of different types of traders on the ASX. We find strong evidence of informed traders use of limit orders, as well as insights into the evolution of liquidity over a trading day. The greatest increase of informed traders use of limit orders is during the last two hours of trading before closing. We also find evidence that the information value processed by informed traders make them more successful in their use of limit orders. This impact is considered substantial as in our sample the volume of limit orders from informed traders under-weighs that of the other traders by a large amount. The order strategy of liquidity traders displays a relatively flat U shaped pattern with more limit orders being used at the opening. It is also found that the pattern of the informed traders order placement shows an increase in the use of market orders. This is a result of the unique trading mechanism which entails a closing call auction as applied on the ASX. Traders that have information about the true value of stocks act on it through the use of market orders before the continuous trading platform closes.Evolution of liquidity, Informed trader, Limit order, Information asymmetry

Returns, Volatility and Liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders

This paper investigates the information content of the two types of limit orders on the Australian Stock Exchange ASX: undisclosed orders (ULOs) and limit orders. Given the large order quantity contained in ULOs, we attempt to examine the impact of ULO submissions, cancellations and executions on price changes and volatility over differing intervals within a day. Motivation is generated by the ASX decision to abolish the use of ULOs in favour of iceberg orders. Intraday analysis shows that the impact of both ULO and disclosed order submissions are no longer than one day. ULO buying/selling order submissions at the best bid/ask price increase/decrease returns and price volatility significantly more than disclosed orders. The cancellations of ULOs cause significantly larger price volatility than disclosed limit order cancellations. Compared with disclosed limit order submissions, there is an increase in liquidity from the significantly reduced spread upon DLO submissions.Intraday effects, Return volatility, Undisclosed limit orders

Adolescent Perceptions of Fathers' Authority and Adolescent Behavioral Autonomy

Peterson (1986) examined the direct relationships between bases of fathers' authority and adolescent behavioral autonomy. The current study examines the direct and indirect relationships between adolescent perceptions of fathers' legitimate, expert, reward, coercive, and referent authority (French & Raven, 1959) using structural equations modeling and adolescent behavioral autonomy. A convenience sample was obtained consisting of 97 boys and 93 girls with a mean age of 16.0. The measurement model supported the dimensions identified by Peterson using exploratory factor analysis. The structural equations model required respecification which yielded ?2 = 30.8, p < .00; RMSEA = .15; RFI = .63 for the boys' model and ?2 = 25.2, p < .00; RMSEA = .13; RFI = .78 for the girls model. Significant relationships were found at p < .05 between expert, reward, and coercive authority and behavioral autonomy for boy and girl adolescents and referent authority and behavioral autonomy for boys only. Expert, reward, and referent authority mediated the relationship between legitimate authority and behavioral autonomy for boy and girl adolescents.Department of Human Development and Family Scienc

Madrigal Brass Quintet

Kemp Recital Hall Monday Evening November 1, 1999 8:00 P.M