𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange

✍ Scribed by Robin K. Chou; Yun-Yi Wang

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
142 KB
Volume
29
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

We investigate the strategic order‐splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split their orders and it appears that the price adjustments after their trades are permanent. Foreign institutional traders and futures proprietary firms seem to be better informed, with their orders apparently being split so as to reveal their information on a gradual basis. Furthermore, we find that foreign institutional traders and futures proprietary firms use fewer market orders, choosing instead to submit aggressive limit orders, possibly due to their desire to make the most of their information advantage. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1102–1129, 2009

📜 SIMILAR VOLUMES

Limit order book transparency, execution
Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange
✍ Luke Bortoli; Alex Frino; Elvis Jarnecic; David Johnstone 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 169 KB

## Abstract This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at t

Tick sizes and relative rates of price d
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
✍ Yu-Lun Chen; Yin-Feng Gau 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 163 KB 👁 2 views

## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price‐discovery ability of the Taiwan Top 50 Tracker Fund, an exchange‐traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum