Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2017 erstellt
Beschreibung:
We investigate the relative roles of limit orders from proprietary algorithmic traders (PAT) and agency algorithmic traders (AAT) in the discovery of security prices in National Stock Exchange (NSE) of India. Our results suggest that AAT contributes more to price discovery compared to PAT. This challenges the modern notion that “speed is information,” since PAT includes the high-frequency traders (HFT). As AAT are primarily hired by institutional investors to execute their orders, our result shows that stock specific information is still in the hands of those traders who were traditionally viewed as informed. We also find no evidence to support the popular notion that fast traders use limit orders to “mislead” market participants about future price movements