How do block orders affect trade premium and order execution quality on the Taiwan stock exchange?

Donald Lien and Pi‐Hsia Hung

The Financial Review, 2025, vol. 60, issue 2, 393-415

Abstract: This research investigates how block orders affect trade premium and order execution quality across trader types in Taiwan's order‐driven call market. Foreign investors place buy‐side block orders at a smaller premium compared to individuals, while submitting sell‐side block orders at a smaller discount than individuals. Block orders tend to have longer order duration but lower fill rates. Domestic institutions themselves complete their orders faster than individuals do. Foreign investors have better market‐timing capabilities either for buying or selling block orders and thus obtain shorter order duration but higher fill rate.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/fire.12416

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:60:y:2025:i:2:p:393-415

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().