Suchergebnisse

This paper examines the performance of limit orders versus market orders using intraday transaction prices for all stocks listed on the Taiwan Stock Exchange over the first three months of 1999. The results indicate that executed limit orders significantly outperform market orders. Moreover, even after including the impact of unfilled limit orders, the unconditional limit orders still perform slightly better than the corresponding market orders. The superior performance of limit orders is consistent with the explanation that limit order traders benefit from the bid-ask bounce driven by liquidity trading in the Taiwan stock market. By replacing the buy and sell prices by the bid-ask average, the superior profitability of limit orders decline significantly.