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Market uncertainty and market orders in futures markets

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  • Matthew C. Chang
  • Chih‐Ling Tsai
  • Rebecca Chung‐Fern Wu
  • Ning Zhu

Abstract

In this paper, we employ a unique dataset from Taiwan to investigate the order type choices made by individual and institutional investors over periods of high market uncertainty. Our studies show that individuals change their behavior during periods of high market uncertainty by submitting more market orders and sell orders. In contrast, institutions are less influenced by market uncertainty. Institutional trades can alleviate, but not reverse, this increase in individuals' market orders during periods of high market uncertainty. These findings suggest that the composition of investor clientele plays an important role in understanding asset returns and volatility in emerging markets.

Suggested Citation

  • Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu, 2018. "Market uncertainty and market orders in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 865-880, August.
    • Handle: RePEc:wly:jfutmk:v:38:y:2018:i:8:p:865-880
    DOI: 10.1002/fut.21918
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