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Order Choices: An Intraday Analysis of the Taiwan Stock Exchange

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  • Lien, Donald
  • Hung, Pi-Hsia
  • Lo, Hsiang-Yu

Abstract

This paper employs order-, trade-, and quote-level data to examine the determinants of order choices and the impacts of order choices on execution quality by various investor types in the Taiwan Stock Exchange. We find marketable-quote orders have a higher degree of price aggressiveness, larger order size, higher trade value, shorter duration, and higher fill rate than behind-the-quote orders. There exists a transient order serial correlation. Different types of investors have their own preferences in order choices, while market microstructure factors, such as transitory volatility, spread, market depth, and trading interval, significantly influence stock traders’ order choices. Findings show that marketable-quote orders tend to perform better in terms of order duration. Moreover, institutional investors spend less time on completing their trades than do individuals, particularly for foreign investors after controlling all other factors.

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  • Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    • Handle: RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912
    DOI: 10.1016/j.najef.2022.101742
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    More about this item

    Keywords

    Investor types; Limit order; Order size; Order submission; Price aggressiveness;
    All these keywords.

    JEL classification:

    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • D02 - Microeconomics - - General - - - Institutions: Design, Formation, Operations, and Impact
    • D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General
    • G40 - Financial Economics - - Behavioral Finance - - - General

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