Limit order revisions across investor sophistication

Junmao Chiu and Chin-Ho Chen

Journal of Empirical Finance, 2023, vol. 70, issue C, 74-90

Abstract: We investigate whether investors’ levels of sophistication can result in differences in their cancellation and revision strategies. We use a unique dataset that encompasses all limit orders in the Taiwan futures market. Our results find that when investors face a higher free-option risk (non-execution risk), institutional investors increase their cancellations and revisions to reduce their risk of being picked off (non-execution). By contrast, individual investors are less likely to cancel and revise their limit orders. Higher informational volatility (transitory volatility) can improve (reduce) the revisions and cancellations of limit orders for all investor categories.

Keywords: Investor sophistication; Limit order risk; Monitoring information (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539822001037
Full text for ScienceDirect subscribers only

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:eee:empfin:v:70:y:2023:i:c:p:74-90

DOI: 10.1016/j.jempfin.2022.11.006

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().