Order aggressiveness of institutional and individual investors

Krishnamurti, Chandrasekhar and Doung, Huu and Kalev, Petko (2007) Order aggressiveness of institutional and individual investors. In: 20th Annual Australasian Finance and Banking Conference (AFBC 2007), 12-14 Dec 2007, Sydney, Australia.

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Abstract

This paper investigates the factors determining the order aggressiveness of institutional and individual investors on the Australian Stock Exchange (ASX). The study also examines the changes in institutional and individual investors’ order aggressiveness following the removal of broker IDs on the 28th of November 2005. While investigating the order submission strategies of stocks sampled from large, medium and small capitalization groups, we document that the institutional and individual investors’ order aggressiveness responds similarly to the market depth and the bid-ask spread, but differently to the time left-to-trade (end of the day) and the order size. This difference in the order submission strategies employed by institutional and retail investors is more strongly pronounced in the post-transparent (anonymous) market. In addition, both groups of investors become less aggressive
after the move to anonymity, with stronger results observed for individual investors.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 18 Dec 2017 04:08
Last Modified: 18 Dec 2017 05:27
Uncontrolled Keywords: anonymity; limit order book; institutional and individual investors; order aggressiveness
Fields of Research : 17 Psychology and Cognitive Sciences > 1701 Psychology > 170109 Personality, Abilities and Assessment
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150299 Banking, Finance and Investment not elsewhere classified
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 > 9102 Microeconomics > 910206 Market-Based Mechanisms
URI: http://eprints.usq.edu.au/id/eprint/9146

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