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Order submission behaviors and opening price behaviors: evidence from an emerging market

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Author Info
Chaoshin Chiao ()
Zi-May Wang ()
Hsiu-Ling Lai ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-009-0110-6
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 33 (2009)
Issue (Month): 3 (October)
Pages: 253-278
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:rqfnac:v:33:y:2009:i:3:p:253-278

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Order imbalance; Order aggressiveness; Institutional investors; Order submission behaviors; Opening price behaviors; G12; G14;

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  1. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January. [Downloadable!] (restricted)
  2. Grinblatt, Mark & Keloharju, Matti, 2000. "The investment behavior and performance of various investor types: a study of Finland's unique data set," Journal of Financial Economics, Elsevier, vol. 55(1), pages 43-67, January. [Downloadable!] (restricted)
  3. Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(2), pages 785-818, April. [Downloadable!] (restricted)
  4. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(3), pages 627-58.
  5. John M. Griffin & Jeffrey H. Harris & Selim Topaloglu, 2003. "The Dynamics of Institutional and Individual Trading," Journal of Finance, American Finance Association, vol. 58(6), pages 2285-2320, December. [Downloadable!] (restricted)
  6. Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, EconWPA. [Downloadable!]
    Other versions:
  7. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04. [Downloadable!] (restricted)
  8. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December. [Downloadable!] (restricted)
  9. Peterson, Mark & Sirri, Erik, 2002. "Order Submission Strategy and the Curious Case of Marketable Limit Orders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 221-241, June. [Downloadable!]
  10. John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December. [Downloadable!] (restricted)
  11. Paul A. Gompers & Andrew Metrick, 2001. "Institutional Investors And Equity Prices," The Quarterly Journal of Economics, MIT Press, vol. 116(1), pages 229-259, February. [Downloadable!] (restricted)
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  12. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July. [Downloadable!] (restricted)
    Other versions:
  13. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 31(2), pages 113-140. [Downloadable!] (restricted)
  14. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February. [Downloadable!] (restricted)
    Other versions:
  15. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December. [Downloadable!] (restricted)
  16. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June. [Downloadable!] (restricted)
    Other versions:
  17. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 327-341, June. [Downloadable!]
  18. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January. [Downloadable!] (restricted)
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