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

Journal of Futures Markets

Volumn 29, Issue 12, 2009, Pages 1102-1129

  Chou, Robin K ^a   Wang, Yun Yi ^a  

^a NATIONAL CENTRAL UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 76249131590     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20416     Document Type: Article

References (28)

1. Admati, A., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. Review of Financial Studies, 1, 3-40.
2. Ahn, H. J., Kang, J., & Ryu, D. (2008). Informed trading in the index option market: The case of KOSPI 200 options. Journal of Futures Market, 28, 1118-1146.
3. Alexander, G. J., & Peterson, M. A. (2007). An analysis of trade-size clustering and its relationship to stealth trading. Journal of Financial Economics, 84, 435-471.
4. Al-Suhaibani, M., & Kryzanowski, L. (2000). An exploratory analysis of the order book, and order flow and execution on the Saudi stock market. Journal of Banking and Finance, 24, 1323-1357.
5. Anand, A., & Chakravarty, S. (2007). Stealth trading in option markets. Journal of Financial and Quantitative Analysis, 42, 167-188.
6. Barclay, M. J., & Warner, J. B. (1993). Stealth and volatility: Which trades move prices? Journal of Financial Economics, 34, 281-306.
7. Biais, B., Hillion, P., & Spatt, C. (1995). An empirical analysis of the limit-order book and the order flow in the Paris Bourse. Journal of Finance, 50, 1655-1689.
8. Bloomfield, R., O'Hara, M., & Saar, G. (2005). The 'make or take' decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75, 165-199.
9. Chakravarty, S. (2001). Stealth trading: Which traders' trades move stock prices? Journal of Financial Economic, 61, 289-307.
10. Chan, L., & Lakonishok, J. (1993). Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33, 173-199.
11. Chan, L., & Lakonishok, J. (1995). The behavior of stock prices around institutional trades. Journal of Finance, 50, 1147-1174.
12. Chou, R. K., & Chung, H. (2006). Decimalization, trading cost, and information transmission between ETFs and index futures. Journal of Futures Market, 26, 131-151.
13. Daigler, R. T., & Wiley, M. K. (1999). The impact of trader type on the futures volatility-volume relation. Journal of Finance, 54, 2297-2316
14. Erenburg, G., Kurov, A., & Lasser, D. J. (2006). Trading around macroeconomic announcements: Are all traders created equal? Journal of Financial Intermediation, 15, 470-493.
15. Foucault, T. (1999). Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets, 2, 99-134.
16. Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride loses: Evidence of irrational or rational behavior? Journal of Banking and Finance, 28, 353-372.
17. Frino, A., Walter, T., & West, A. (2000). The lead-lag relationship between equities and stock index futures markets around information releases. Journal of Futures Market, 20, 467-478.
18. Glosten, L. R. (1994). Is the electronic open limit order book inevitable? Journal of Finance, 49, 1127-1161.
19. Griffiths, M., Smith, B., Turnbull D., & White, R. (2000). The costs and the determinants of order aggressiveness. Journal of Financial Economics, 56, 65-88.
20. Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland's unique data set. Journal of Financial Economics, 55, 43-67.
21. Harris, L. (1998). Optimal dynamic order submission strategies in some stylized trading problems. Financial Markets, Institutions and Instruments, 7, 1-76.
22. Huang, R. D., & Shiu, C. Y. (2009). Local effects of foreign ownership in an emerging financial market: Evidence from qualified foreign institutional investors in Taiwan. Financial Management, forthcoming.
23. Kaniel, R., & Liu, H. (2006). So what orders do informed traders use? Journal of Business, 79, 1867-1913.
24. Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. Journal of Finance, 63, 273-310.
25. Kyle, A. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315-1335.
26. Parlour, C. (1998). Price dynamics in limit order markets. Review of Financial Studies, 11, 789-816.
27. Pizzi, M. A., Economopoulos, A. J., & O'Nell, H. M. (1998). An examination of the relationship between stock index cash and futures markets: A cointegration approach. Journal of Futures Markets, 18, 297-305.
28. Puckett A., & Yan, X. (2008). Short-term institutional herding and its impact on stock prices (working paper). The University of Missouri.