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The Effect of Limit Order Book Information on Investors with Different Risk Attitudes

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  • Ya-Hui Wang
  • Chien-Chih Lai

Abstract

The Taiwan Stock Exchange Corporation (TSEC) started to disclose information on the best five bid/ask prices and volumes ever since January 2, 2003. With such disclosure, investors can now judge the market conditions according to the limit order book information and then decide their order aggressiveness and order placement strategies. The purpose of this study is to investigate the relationships and effects of risk attitudes, limit order book information, and price clustering. Using random sampling, we administered the questionnaires to investors living in Taiwan from February 1, 2012 to May 1, 2012. The research results show there are in fact significant relationships among risk attitudes, limit order book information, and price clustering. Moreover, investors will conduct strategic trading behavior when they face price clustering.

Suggested Citation

  • Ya-Hui Wang & Chien-Chih Lai, 2015. "The Effect of Limit Order Book Information on Investors with Different Risk Attitudes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 113-120.
    • Handle: RePEc:ibf:ijbfre:v:9:y:2015:i:1:p:113-120
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    References listed on IDEAS

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    More about this item

    Keywords

    Best Five Bid/Ask Prices and Volumes; Risk Attitude; Limit Order Book Information; Price Clustering;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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