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Whose trades move stock prices? Evidence from the Taiwan Stock Exchange

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  • Lien, Donald
  • Hung, Pi-Hsia
  • Lin, Zong-Wei

Abstract

Analyzing firms listed on the Taiwan Stock Exchange, this research examines whose trades move stock prices. To emphasize the roles of different types of investors, we construct the weighted price contribution (WPC), explore sensitivities of the price contribution to order submission behavior, and then test whether their order aggressiveness and trade size, along with current price contribution, affect future stock returns. Our empirical results reveal several new findings. First, individual traders account for more than 80% of WPC, while institutional investors make up less than 20% of WPC. Second, although mutual funds make up the smallest proportion of WPC, their WPC per order (or per lot) and their order aggressiveness are both the highest among all types of traders. Finally, price contributions generated by large orders of professional institutions are closely related to future stock performance, although they account only for a small proportion of total WPC.

Suggested Citation

  • Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    • Handle: RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50
    DOI: 10.1016/j.iref.2019.10.011
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    Cited by:

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    3. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.
    4. Lien, Donald & Hung, Pi-Hsia & Chen, Hung-Ju, 2021. "Who knows more and makes more? A perspective of order submission decisions across investor types," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 381-398.
    5. Lien, Donald & Hung, Pi-Hsia & Wu, Yi-Hsien, 2023. "An intraday analysis of block orders on the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 133-147.

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    More about this item

    Keywords

    Market microstructure; Order aggressiveness; Price contribution; Trade size; Trading behavior;
    All these keywords.

    JEL classification:

    • D10 - Microeconomics - - Household Behavior - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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