On the limit order behaviour of retail and non-retail investors

Danny Lo

Pacific-Basin Finance Journal, 2017, vol. 44, issue C, 1-12

Abstract: Motivated by the dichotomy in access to trading technology, this study examines the limit order behaviour of retail and non-retail investors (institutions and market-makers) in the Australian equity market. Fundamental differences are found in the trading behaviours of the two groups, consistent with non-retail investors having a relative speed advantage. Non-retail investors trade more via limit orders, are more aggressive with their limit order placement, exploit fleeting orders to search for latent liquidity and react more quickly to liquidity opportunities. We also find evidence that institutional investors are more responsive to non-execution risks and retail investors experiencing higher adverse selection costs at the hands of non-retail investors.

Keywords: Limit orders; Order revisions; Non-execution risk; Adverse selection risk; Fleeting orders (search for similar items in EconPapers)
JEL-codes: C41 G10 G18 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X17302196
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:pacfin:v:44:y:2017:i:c:p:1-12

DOI: 10.1016/j.pacfin.2017.04.009

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().