Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism

Ahn, 2001, Limit orders depth and volatility: evidence from the stock exchange of Hong Kong, J. Financ., 56, 767, 10.1111/0022-1082.00345 Ai, 2003, Interaction terms in logit and probit models, Econ. Lett., 80, 123, 10.1016/S0165-1765(03)00032-6 Aitken, 2007, Liquidity supply in electronic markets, J. Financ. Mark., 10, 144, 10.1016/j.finmar.2006.12.001 Alangar, 1999, The effect of institutional interest on the information content of dividend-change announcements, J. Financ. Res., 22, 429, 10.1111/j.1475-6803.1999.tb00704.x Anand, 2005, Empirical evidence on the evolution of liquidity: choice of market versus limit orders by informed and uninformed traders, J. Financ. Mark., 8, 289, 10.1016/j.finmar.2005.03.001 Back, 2000, Imperfect competition among informed traders, J. Financ., 55, 2117, 10.1111/0022-1082.00282 Bae, 2003, Traders choice between limit and market orders: evidence from NYSE stocks, J. Financ. Mark., 6, 517, 10.1016/S1386-4181(02)00047-2 Barclay, 1993, Stealth trading and volatility: which trades move prices?, J. Financ. Econ., 34, 281, 10.1016/0304-405X(93)90029-B Biais, 1995, An empirical analysis of the limit order book and the order flow in the Paris Bourse, J. Financ., 50, 1655, 10.1111/j.1540-6261.1995.tb05192.x Biais, 1999, Price discovery and learning during the preopening period in the Paris Bourse, J. Polit. Econ., 107, 1218, 10.1086/250095 Bloomfield, 2005, The make or take decision in an electronic market: evidence on the evolution of liquidity, J. Financ. Econ., 75, 165, 10.1016/j.jfineco.2004.07.001 Boehmer, 2005, Lifting the veil: an analysis of pre-trade transparency at the NYSE, J. Financ., 60, 783, 10.1111/j.1540-6261.2005.00746.x Bortoli, 2006, Limit order book transparency, execution risk, and market liquidity: evidence from the Sydney Futures Exchange, J. Futur. Mark., 26, 1147, 10.1002/fut.20236 Cao, 2000, Price discovery without trading: evidence from the Nasdaq preopening, J. Financ., 55, 1339, 10.1111/0022-1082.00249 Carhart, 2002, Leaning for the tape: evidence of gaming behavior in equity mutual funds, J. Financ., 57, 661, 10.1111/1540-6261.00438 Cohen, 1981, Transaction costs order placement strategy and the existence of the bid–ask spread, J. Polit. Econ., 89, 287, 10.1086/260966 Comerton-Forde, 2007, Opening and closing behavior following the introduction of call auctions in Singapore, Pac. Basin Financ. J., 15, 18, 10.1016/j.pacfin.2006.04.002 Copeland, 1983, Information effects on the bid–ask spread, J. Financ., 38, 1457, 10.1111/j.1540-6261.1983.tb03834.x Cushing, 2000, Stock returns and trading at the close, J. Financ. Mark., 3, 45, 10.1016/S1386-4181(99)00012-9 Danthine, 1998, Front-running by mutual fund managers: a mixed bag, Eur. Financ. Rev., 2, 29, 10.1023/A:1009711728387 De Winnie, 2007, Hide-and-seek in the market: placing and detecting hidden orders, Eur. Finan. Rev., 11, 663, 10.1093/rof/rfm0016 Duong, 2009, Order aggressiveness of institutional and individual investors, Pac. Basin Financ. J., 17, 533, 10.1016/j.pacfin.2009.05.001 Easley, 1987, Price, trade size, and information in securities markets, J. Financ. Econ., 19, 69, 10.1016/0304-405X(87)90029-8 Ellul, 2007, Order dynamics: recent evidence from the NYSE, J. Empir. Financ., 14, 636, 10.1016/j.jempfin.2007.02.002 Eom, 2007, Pre-trade transparency and market quality, J. Financ. Mark., 10, 319, 10.1016/j.finmar.2007.06.001 Fama, 1992, The cross-section of expected stock returns, J. Financ., 47, 427, 10.1111/j.1540-6261.1992.tb04398.x Flood, 1999, Quote disclosure and price discovery in multiple-dealer financial markets, Rev. Financ. Stud., 12, 37, 10.1093/rfs/12.1.37 Foster, 1996, Strategic trading when agents forecast the forecasts of others, J. Financ., 51, 1437, 10.1111/j.1540-6261.1996.tb04075.x Foucault, 1999, Order flow composition and trading costs in a dynamic limit order market, J. Financ. Mark., 2, 99, 10.1016/S1386-4181(98)00012-3 Foucault, 2005, Limit order book as a market for liquidity, Rev. Financ. Stud., 18, 1171, 10.1093/rfs/hhi029 Goettler, 2005, Equilibrium in a dynamic limit order market, J. Financ., 5, 2149, 10.1111/j.1540-6261.2005.00795.x Greene, 2010, Testing hypotheses about interaction terms in nonlinear models, Econ. Lett., 107, 291, 10.1016/j.econlet.2010.02.014 Griffiths, 2000, The costs and the determinants of order aggressiveness, J. Financ. Econ., 56, 65, 10.1016/S0304-405X(99)00059-8 Handa, 1996, Limit order trading, J. Financ., 51, 1835, 10.1111/j.1540-6261.1996.tb05228.x Harris, 1998, Optimal dynamic order submission strategies in some stylized trading problems, Financ. Mark. Inst. Instrum., 7, 1, 10.1111/1468-0416.00019 Harris, 1996, Market vs. limit orders: the superdot evidence on order submission strategy, J. Financ. Quant. Anal., 31, 213, 10.2307/2331180 Hillion, 2004, The manipulation of closing prices, J. Financ. Mark., 7, 351, 10.1016/j.finmar.2004.04.002 Huang, 2010, Trading behavior on expiration days and quarter-end days: the effect of a new closing method, Emerg. Mark. Financ. Trade, 46, 105, 10.2753/REE1540-496X460407 Kandel, 2012, The effect of a closing call auction on market quality and trading strategies, J. Financ. Intermed., 21, 23, 10.1016/j.jfi.2011.03.002 Kaniel, 2008, Individual investor trading and stock return, J. Financ., 63, 273, 10.1111/j.1540-6261.2008.01316.x Karaca-Mandic, 2012, Interaction terms in nonlinear models, Health Serv. Res., 47, 255, 10.1111/j.1475-6773.2011.01314.x Ko, 2014, Value investing and technical analysis in the Taiwan stock market, Pac. Basin Financ. J., 26, 14, 10.1016/j.pacfin.2013.10.004 Kuk, 2014, Strategic order submission and cancellation in pre-opening periods: the case of IPO firms Liu, 2009, Monitoring and limit order submission risks, J. Financ. Mark., 12, 107, 10.1016/j.finmar.2008.04.003 Lo, 2010, Order aggressiveness and quantity: how are they determined in a limit order market?, J. Int. Financ. Mark. Inst. Money, 20, 213, 10.1016/j.intfin.2010.03.001 Lo, 2002, Econometric models of limit-order executions, J. Financ. Econ., 65, 31, 10.1016/S0304-405X(02)00134-4 Lu, 2014, The profitability of candlestick charting in the Taiwan stock market, Pac. Basin Financ. J., 26, 65, 10.1016/j.pacfin.2013.10.006 Ma, 2008, Are investors more aggressive in transparent markets?, Asia Pac. J. Financ. Stud., 37, 343 Madhavan, 1996, Security prices and market transparency, J. Financ. Intermed., 5, 255, 10.1006/jfin.1996.0015 Madhavan, 2005, Should securities markets be transparent?, J. Financ. Mark., 8, 265, 10.1016/j.finmar.2005.05.001 Moshirian, 2012, Overnight public information, order placement, and price discovery during the pre-opening period, J. Bank. Financ., 36, 2837, 10.1016/j.jbankfin.2012.06.012 Pagano, 1996, Transparency and liquidity: a comparison of auction and dealer markets with informed trading, J. Financ., 51, 579, 10.1111/j.1540-6261.1996.tb02695.x Pagano, 2003, A closing calls impact on market quality at Euronext Paris, J. Financ. Econ., 68, 439, 10.1016/S0304-405X(03)00073-4 Parlour, 1998, Price dynamics in limit order markets, Rev. Financ. Stud., 11, 789, 10.1093/rfs/11.4.789 Pascual, 2009, What pieces of limit order book information matter in explaining order choice by patient and impatient traders?, Quant. Financ., 9, 527, 10.1080/14697680802616704 Ranaldo, 2004, Order aggressiveness in limit order book markets, J. Financ. Mark., 7, 53, 10.1016/S1386-4181(02)00069-1 Rosu, 2009, A dynamic model of the limit order book, Rev. Financ. Stud., 22, 4601, 10.1093/rfs/hhp011 Szewczyk, 1992, Institutional ownership and liquidity of common stock offerings, Financ. Rev., 27, 211, 10.1111/j.1540-6288.1992.tb01314.x Valenzuela, 2013, Competition, signaling and non-walking through the book: effects on order choice, J. Bank. Financ., 37, 5421, 10.1016/j.jbankfin.2013.04.014 White, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817, 10.2307/1912934 Yamamoto, 2011, Order aggressiveness, pre-trade transparency, and long memory in an order-driven market, J. Econ. Dyn. Control., 35, 1938, 10.1016/j.jedc.2011.06.009