Who knows more and makes more? A perspective of order submission decisions across investor types

Donald Lien, Pi-Hsia Hung and Hung-Ju Chen

The Quarterly Review of Economics and Finance, 2021, vol. 79, issue C, 381-398

Abstract: This research examines the impacts of order submission decision across investor types on overall stock returns and trading performances by using a unique dataset and new measures that present several new findings. In terms of order aggressiveness and trade size, different types of investors display distinct order submission behaviors· Professional investors outperform other investors in the near term following their current-day trading, while aggressive and large sells derive better trading performance for all institutional investors. Only foreign investors and other institutions have better performance from more aggressive buys· Finally, individual traders contribute to total trades more than institutions do, but they tend to use the least aggressive price and smallest trade size per order. Compared to professional investors, individuals perform poorly.

Keywords: Market microstructure; Order aggressiveness; Order choice; Trading performance; Trading strategy (search for similar items in EconPapers)
JEL-codes: D01 D80 G10 G20 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:79:y:2021:i:c:p:381-398

DOI: 10.1016/j.qref.2020.07.011

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