Pre-holiday limit order cancellation of individual and institutional investors

Wei-Yu Kuo and Jing Zhao

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This paper shows that the time-to-cancellation is longer on trading days immediately before holidays. Pre-holiday time-to-cancellation is significantly higher for individual investors but not for institutional investors. Moreover, individual investors have a lower execution ratio and underperform institutional investors by a larger margin on days before holidays. These findings are consistent with the notion that pre-holiday inattention entails a higher opportunity cost for monitoring the market, and limit orders are more subject to the non-execution and pick-off risks on pre-holiday trading days.

Keywords: Pre-holiday trading; Order cancellation; Retail investors; Institutional investors (search for similar items in EconPapers)
JEL-codes: G02 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006948

DOI: 10.1016/j.frl.2022.103518

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