Order aggressiveness of different broker-types in response to monetary policy news

Lee Smales

Pacific-Basin Finance Journal, 2016, vol. 40, issue PB, 367-383

Abstract: This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period Dec 2007–Dec 2014, I identify a sharp increase in the number of orders submissions in the period following RBA announcements. Orders are more aggressive, and more abundant, when there is less information for investors to digest. On average, retail orders are more aggressive and are exclusively concerned with the likelihood of order execution. The submission decision of institutional brokers is more nuanced and evolves over time as market conditions change and information arrives. I also recognize differences in order aggressiveness attributable to firm-size and industry.

Keywords: Order aggressiveness; Limit order book; Institutional brokers; Retail brokers; Monetary policy news; Reserve Bank of Australia (search for similar items in EconPapers)
JEL-codes: G1 G10 G11 G14 G15 G20 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:40:y:2016:i:pb:p:367-383

DOI: 10.1016/j.pacfin.2016.02.005

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