Market uncertainty and market orders in futures markets
Matthew C. Chang,
Rebecca Chung‐Fern Wu and
Journal of Futures Markets, 2018, vol. 38, issue 8, 865-880
In this paper, we employ a unique dataset from Taiwan to investigate the order type choices made by individual and institutional investors over periods of high market uncertainty. Our studies show that individuals change their behavior during periods of high market uncertainty by submitting more market orders and sell orders. In contrast, institutions are less influenced by market uncertainty. Institutional trades can alleviate, but not reverse, this increase in individuals' market orders during periods of high market uncertainty. These findings suggest that the composition of investor clientele plays an important role in understanding asset returns and volatility in emerging markets.
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:38:y:2018:i:8:p:865-880
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