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Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions

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  • Yun‐Yi Wang

Abstract

We set out in this study to empirically investigate the intraday pattern of order splitting behavior, along with the impacts of market conditions on the order splitting behavior of different types of traders. Our results indicate an intraday pattern in order splitting trading, which is found to be at its highest during the first hour of the trading day. We also present consistent evidence to show that order splitting behavior varies with market conditions, with a clear increase in such behavior when volume is at a high level, and when returns and volatility are at low levels. These results are particularly evident for foreign institutions and proprietary firms, although less so for domestic institutions and individual traders; this is possibly due to the greater sophistication of foreign institutional and proprietary firm traders, which enables them to dynamically alter their order submission strategies, depending upon the prevailing market conditions. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:883–910, 2014

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  • Yun‐Yi Wang, 2014. "Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(9), pages 883-910, September.
    • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:9:p:883-910
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    Cited by:

    1. Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "The heterogeneous impact of liquidity on volatility in Chinese stock index futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 73-85.
    2. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

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