Order aggressiveness of institutional and individual investors

Duong, Huu Nhan and Kalev, Petko and Krishnamurti, Chandrasekhar (2009) Order aggressiveness of institutional and individual investors. Pacific-Basin Finance Journal, 17 (5). pp. 533-546. ISSN 0927-538X

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Abstract

This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual investors become more aggressive when the same-side (opposite-side) market depth increases (decreases). When the spread widens, both individual and institutional investors tend to become less aggressive. Institutional investors are more aggressive in the opening hour of the trading day, while individual investors are less aggressive initially and increase their order aggressiveness during the rest of the trading day.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Author's version deposited in accordance with the copyright policy of the publisher.
Depositing User: Professor Chandrasekhar Krishnamurti
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 31 Jan 2010 12:50
Last Modified: 27 Jul 2014 02:54
Uncontrolled Keywords: limit order book; institutional and individual investors; order aggressiveness
Fields of Research (FOR2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
17 Psychology and Cognitive Sciences > 1701 Psychology > 170109 Personality, Abilities and Assessment
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
Socio-Economic Objective (SEO2008): B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
Identification Number or DOI: doi: 10.1016/j.pacfin.2009.05.001
URI: http://eprints.usq.edu.au/id/eprint/6711

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