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: | 15 Jul 2015 05:19 |
| Uncontrolled Keywords: | limit order book; institutional and individual investors; order aggressiveness |
| Fields of Research : | 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: | B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments |
| Identification Number or DOI: | 10.1016/j.pacfin.2009.05.001 |
| URI: | http://eprints.usq.edu.au/id/eprint/6711 |
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