Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2008 erstellt
Description:
We conduct a comprehensive analysis of the New York Stock Exchange (NYSE) limit order book at both the aggregate market level and the individual stock level based on a sample covering all the NYSE ordinary stocks. By providing detailed description of the limit order book, we show that it supplies considerable amount of liquidity beyond the best quote posted on the market. At the aggregate market level, we find volatility is a key factor that determines the liquidity provided by limit order book. When expected market volatility increases, the book becomes more dispersed and its liquidity provision decreases; this in turn leads to high realized volatility in the future. Past market movements, especially market declines, exert significant impact on the book as well. The stock-level analysis suggests that small stock's limit order book is more sensitive to volatility and market declines than that of large stocks, and volatility and returns mainly affect the systematic component of the liquidity provided by individual stock's limit order book