Determinants of the decision to submit market or limit orders on the ASX

Abstract This paper examines factors that affect the decision criterion used by market participants when determining whether to place buy and sell orders at market or away from the market on the Australian Stock Exchange (ASX). Using logit regressions, the results indicate that (i) the bid–ask spread, (ii) depth at the best price, (iii) price changes in the last 5 minutes, and (iv) order imbalance are major determinants of the traders' decision to place market and limit orders.

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