TY - JOUR
T1 - Correlated Behavior in Limit Order Cancellations, Comovement in Asset Returns, and Commonality in Liquidity
AU - Egginton, Jared
AU - Watson, Ethan D.
N1 - Publisher Copyright:
© 2019 The Southern Finance Association and the Southwestern Finance Association
PY - 2020/4/1
Y1 - 2020/4/1
N2 - We examine whether there is common behavior in limit order cancellation activity, that is, commonality in cancellation activity, on U.S. exchanges. We then examine whether this commonality in cancellation activity is associated with increased levels of return comovement and commonality in liquidity. We document strong evidence of limit order traders exhibiting exchange, industry, marketwide, and stock-level commonality with regard to cancellation activity, which is consistent with limit order traders exhibiting correlated trading behavior. We also find that this correlated behavior in cancellation activity is associated with increased levels of return comovement and commonality in liquidity.
AB - We examine whether there is common behavior in limit order cancellation activity, that is, commonality in cancellation activity, on U.S. exchanges. We then examine whether this commonality in cancellation activity is associated with increased levels of return comovement and commonality in liquidity. We document strong evidence of limit order traders exhibiting exchange, industry, marketwide, and stock-level commonality with regard to cancellation activity, which is consistent with limit order traders exhibiting correlated trading behavior. We also find that this correlated behavior in cancellation activity is associated with increased levels of return comovement and commonality in liquidity.
UR - http://www.scopus.com/inward/record.url?scp=85076311650&partnerID=8YFLogxK
UR - https://scholarworks.boisestate.edu/finance_facpubs/4
U2 - 10.1111/jfir.12200
DO - 10.1111/jfir.12200
M3 - Article
SN - 0270-2592
VL - 43
SP - 37
EP - 62
JO - Journal of Financial Research
JF - Journal of Financial Research
IS - 1
ER -