Determinants of the decision to submit market or limit orders on the ASX |
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| Institution: | 1. School of Economics and Finance, Curtin University of Technology, Perth, Australia;2. KPMG, Singapore, Singapore;3. Department of Accounting and Finance, University of Western Australia, Perth, Australia;1. Department of Economics, University of Texas at San Antonio, United States;2. Department of Banking and Finance, National Chi Nan University, No. 1, University Rd., Puli, Nantou, 54561, Taiwan;1. University of New Hampshire, Peter T. Paul College of Business and Economics, 10 Garrison Avenue, Durham, NH 03824-3593, USA;2. Korea University, School of Business, 145 Anam-ro, Seongbuk-gu, Seoul 136-701, South Korea |
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| Abstract: | This paper examines factors that affect the decision criterion used by market participants when determining whether to place buy and sell orders at market or away from the market on the Australian Stock Exchange (ASX). Using logit regressions, the results indicate that (i) the bid–ask spread, (ii) depth at the best price, (iii) price changes in the last 5 minutes, and (iv) order imbalance are major determinants of the traders' decision to place market and limit orders. |
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