Order aggressiveness of institutional and individual investors
Paper
Paper/Presentation Title | Order aggressiveness of institutional and individual investors |
---|---|
Presentation Type | Paper |
Authors | Krishnamurti, Chandrasekhar (Author), Duong, Huu Nhan (Author) and Kalev, Petko (Author) |
Journal or Proceedings Title | Proceedings of the 20th Australasian Finance and Banking Conference (AFBC 2007) |
Number of Pages | 48 |
Year | 2007 |
Place of Publication | Sydney, Australia |
Web Address (URL) of Paper | http://69.175.2.130/%7Efinman/Prague/Papers/PetkoP |
Conference/Event | 20th Annual Australasian Finance and Banking Conference (AFBC 2007) |
Event Details | 20th Annual Australasian Finance and Banking Conference (AFBC 2007) Event Date 12 to end of 14 Dec 2007 Event Location Sydney, Australia |
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 |
Keywords | anonymity; limit order book; institutional and individual investors; order aggressiveness |
ANZSRC Field of Research 2020 | 529999. Other psychology not elsewhere classified |
350299. Banking, finance and investment not elsewhere classified | |
350208. Investment and risk management | |
Byline Affiliations | Monash University |
https://research.usq.edu.au/item/q02q6/order-aggressiveness-of-institutional-and-individual-investors
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