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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/29545


    Title: STRATEGIC ORDER SPLITTING, ORDER CHOICE, AND AGGRESSIVENESS: EVIDENCE FROM THE TAIWAN FUTURES EXCHANGE
    Authors: Chou,RK;Wang,YY
    Contributors: 財務金融所
    Keywords: INSTITUTIONAL TRADES;INDEX FUTURES;MARKETS;BEHAVIOR;PRICES;BOOK;VOLATILITY;COSTS;FLOW
    Date: 2009
    Issue Date: 2010-06-29 20:30:36 (UTC+8)
    Publisher: 中央大學
    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. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1 102-1129, 2009
    Relation: JOURNAL OF FUTURES MARKETS
    Appears in Collections:[財務金融研究所] 期刊論文

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