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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

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-009-0110-6
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    Bibliographic 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

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    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

    Related research

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

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    2. 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.
    3. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
    4. 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.
    5. Paul A. Gompers & Andrew Metrick, 1998. "Institutional Investors and Equity Prices," NBER Working Papers 6723, National Bureau of Economic Research, Inc.
    6. 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.
    7. 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.
    8. 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.
    9. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. 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.
    11. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 31(2), pages 113-140.
    12. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
    13. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
    14. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-58.
    15. 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, Society for Financial Studies, vol. 21(2), pages 785-818, April.
    16. 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.
    17. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Center for Development Economics 168, Department of Economics, Williams College.
    18. 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.
    19. 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.
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    Cited by:
    1. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.

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