| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14733 |
| 来源ID | Working Paper 14733 |
| Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks | |
| Jung-Wook Kim; Jason Lee; Randall Morck | |
| 发表日期 | 2009-02-19 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%, with the crisis and remain depressed long after other economic and financial variables revert to pre-crisis norms. Superimposed upon this common long-term modulation, individual stocks' supply and demand elasticities correlate negatively at high frequencies. That is, when a stock exhibits an unusually elastic demand curve, it tends simultaneously to exhibit an unusually inelastic supply curve, and vice versa. These findings have potential implications for modeling how information flows into and through stock markets, how limit order providers react or interact to information flows, how new information is capitalized into stock prices, and how financial crises alter these processes. We advance speculative hypotheses, and invite further theoretical and empirical work to explain these findings and their implications. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w14733 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572409 |
| 推荐引用方式 GB/T 7714 | Jung-Wook Kim,Jason Lee,Randall Morck. Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14733.pdf（446KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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