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Order cancellations across investor groups: evidence from an emerging order-driven market

Author

Listed:
  • Chaoshin Chiao

    (National Dong Hwa University)

  • Zi-May Wang

    (Ming Chuan University)

  • Shiau-Yuan Tong

    (Ming Chuan University)

Abstract

Employing comprehensive limit-order data that unambiguously identify investor groups, this paper examines the order-cancellation behavior across investor groups in the Taiwan Stock Exchange. First, facing trade-offs between the monitoring cost and limit-order risks, such as non-execution and free-trade-option risks, behavioral differences exist across investor groups. Foreign investors closely monitoring the market cancel their limit orders most actively, while individual investors with the highest monitoring cost do so least actively. Second, Tobit regressions show that the order cancellations by foreign investors are the most sensitive to the free-trade-option and non-execution risks, while those by individual investors are the least sensitive.

Suggested Citation

  • Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
    • Handle: RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0620-6
    DOI: 10.1007/s11156-017-0620-6
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    Cited by:

    1. Wei‐Yu Kuo & Ching‐Ting Lin, 2018. "Trader types and fleeting orders: Evidence from Taiwan Futures Exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1443-1469, December.
    2. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).

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    More about this item

    Keywords

    Non-execution risk; Free-trade-option risk; Monitoring cost; Order cancellations;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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