Order aggressiveness of institutional and individual investors

Duong, Huu Nhan, Kalev, Petko and Krishnamurti, Chandrasekhar 2009, Order aggressiveness of institutional and individual investors, Pacific-Basin finance journal, vol. 17, no. 5, pp. 533-546, doi: 10.1016/j.pacfin.2009.05.001.

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Title Order aggressiveness of institutional and individual investors
Author(s) Duong, Huu Nhan
Kalev, Petko
Krishnamurti, Chandrasekhar
Journal name Pacific-Basin finance journal
Volume number 17
Issue number 5
Start page 533
End page 546
Publisher Elsevier B.V.
Place of publication Amsterdam, The Netherlands
Publication date 2009-11
ISSN 0927-538X
Keyword(s) limit order book
institutional and individual investors
order aggressiveness
Summary This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual investors become more aggressive when the same-side (opposite-side) market depth increases (decreases). When the spread widens, both individual and institutional investors tend to become less aggressive. Institutional investors are more aggressive in the opening hour of the trading day, while individual investors are less aggressive initially and increase their order aggressiveness during the rest of the trading day.
Language eng
DOI 10.1016/j.pacfin.2009.05.001
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2009, Elsevier B.V
Persistent URL http://hdl.handle.net/10536/DRO/DU:30022686

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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