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An intraday analysis of block orders on the Taiwan Stock Exchange

Author

Listed:
  • Lien, Donald
  • Hung, Pi-Hsia
  • Wu, Yi-Hsien

Abstract

This research investigates the determinants of block orders and whether block orders influence price impacts by various trader types. We find price aggressiveness and order size of a block order increases more significantly than that of a non-block order when the trading time approaches market close. Institutional block orders have more significant price impacts than individuals’ block orders. Among all traders, foreign investors trade the largest-size block orders with the highest price aggressiveness, and are able to complete block orders in the shortest time. The results reflect their program trading and order splitting strategies. Investment trusts trade the smallest-size black orders with the highest price, likely driven by fund managers’ career concerns or portfolio disclosure considerations. Overall, price aggressiveness and order size of a block order increases more significantly than that of a non-block order when the trading time approaches market close. Lastly, institutional block orders have more significant price impacts than individuals’ block orders do.

Suggested Citation

  • Lien, Donald & Hung, Pi-Hsia & Wu, Yi-Hsien, 2023. "An intraday analysis of block orders on the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 133-147.
    • Handle: RePEc:eee:quaeco:v:88:y:2023:i:c:p:133-147
    DOI: 10.1016/j.qref.2022.12.011
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    More about this item

    Keywords

    Block trades; Information content; Microstructure factors; Price impact; Trader types;
    All these keywords.

    JEL classification:

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

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