An intraday analysis of block orders on the Taiwan Stock Exchange

Donald Lien, Pi-Hsia Hung and Yi-Hsien Wu

The Quarterly Review of Economics and Finance, 2023, vol. 88, issue C, 133-147

Abstract: This research investigates the determinants of block orders and whether block orders influence price impacts by various trader types. We find price aggressiveness and order size of a block order increases more significantly than that of a non-block order when the trading time approaches market close. Institutional block orders have more significant price impacts than individuals’ block orders. Among all traders, foreign investors trade the largest-size block orders with the highest price aggressiveness, and are able to complete block orders in the shortest time. The results reflect their program trading and order splitting strategies. Investment trusts trade the smallest-size black orders with the highest price, likely driven by fund managers’ career concerns or portfolio disclosure considerations. Overall, price aggressiveness and order size of a block order increases more significantly than that of a non-block order when the trading time approaches market close. Lastly, institutional block orders have more significant price impacts than individuals’ block orders do.

Keywords: Block trades; Information content; Microstructure factors; Price impact; Trader types (search for similar items in EconPapers)
JEL-codes: D01 D02 D90 G40 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:88:y:2023:i:c:p:133-147

DOI: 10.1016/j.qref.2022.12.011

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