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Inefficient Market Depth

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérôme
dc.date.accessioned2019-04-17T12:46:30Z
dc.date.available2019-04-17T12:46:30Z
dc.date.issued2017-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18683
dc.language.isoenen
dc.subjectOrder Booken
dc.subjectMarket Depthen
dc.subjectLimit Order Execution Rateen
dc.subjectWelfareen
dc.subject.ddc658.8en
dc.subject.classificationjelF.F1.F12en
dc.subject.classificationjelD.D8.D83en
dc.subject.classificationjelG.G1.G14en
dc.titleInefficient Market Depthen
dc.typeDocument de travail / Working paper
dc.description.abstractenAn investor who uses a limit order in order to trade, instead of a market order, saves the bid-ask spread but incurs an execution delay. Thus, the use of limit orders slows down the rate at which gains from trade are realized, and then has a negative effect on welfare. With comparative statics, I show how some liquidity measures co-vary with investors’ welfare. I find that market depth negatively co-varies with welfare while the limit order execution rate positively co-varies with welfare. Indeed, when market depth is due to orders inefficiently queuing in the book, the limit order execution rate is low. It suggests that limit order execution rate should be taken into consideration for assessing market quality.en
dc.publisher.nameSSRN Working Paper Seriesen
dc.identifier.citationpages27en
dc.relation.ispartofseriestitleSSRN Working Paper Seriesen
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.3075940en
dc.subject.ddclabelÉtudes et analyses des marchésen
dc.identifier.citationdate2017
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T15:56:16Z
hal.identifierhal-02102564*
hal.version1*
hal.author.functionaut


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