Order Choices: An Intraday Analysis of the Taiwan Stock Exchange

Donald Lien, Pi-Hsia Hung and Hsiang-Yu Lo

The North American Journal of Economics and Finance, 2022, vol. 62, issue C

Abstract: This paper employs order-, trade-, and quote-level data to examine the determinants of order choices and the impacts of order choices on execution quality by various investor types in the Taiwan Stock Exchange. We find marketable-quote orders have a higher degree of price aggressiveness, larger order size, higher trade value, shorter duration, and higher fill rate than behind-the-quote orders. There exists a transient order serial correlation. Different types of investors have their own preferences in order choices, while market microstructure factors, such as transitory volatility, spread, market depth, and trading interval, significantly influence stock traders’ order choices. Findings show that marketable-quote orders tend to perform better in terms of order duration. Moreover, institutional investors spend less time on completing their trades than do individuals, particularly for foreign investors after controlling all other factors.

Keywords: Investor types; Limit order; Order size; Order submission; Price aggressiveness (search for similar items in EconPapers)
JEL-codes: D01 D02 D70 D90 G40 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000912

DOI: 10.1016/j.najef.2022.101742

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