Order cancellations across investor groups: evidence from an emerging order-driven market

Chaoshin Chiao (), Zi-May Wang () and Shiau-Yuan Tong ()
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Chaoshin Chiao: National Dong Hwa University
Zi-May Wang: Ming Chuan University
Shiau-Yuan Tong: Ming Chuan University

Review of Quantitative Finance and Accounting, 2017, vol. 49, issue 4, No 10, 1167-1193

Abstract: Abstract Employing comprehensive limit-order data that unambiguously identify investor groups, this paper examines the order-cancellation behavior across investor groups in the Taiwan Stock Exchange. First, facing trade-offs between the monitoring cost and limit-order risks, such as non-execution and free-trade-option risks, behavioral differences exist across investor groups. Foreign investors closely monitoring the market cancel their limit orders most actively, while individual investors with the highest monitoring cost do so least actively. Second, Tobit regressions show that the order cancellations by foreign investors are the most sensitive to the free-trade-option and non-execution risks, while those by individual investors are the least sensitive.

Keywords: Non-execution risk; Free-trade-option risk; Monitoring cost; Order cancellations (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11156-017-0620-6

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