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How do block orders affect trade premium and order execution quality on the Taiwan stock exchange?

Author

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  • Donald Lien
  • Pi‐Hsia Hung

Abstract

This research investigates how block orders affect trade premium and order execution quality across trader types in Taiwan's order‐driven call market. Foreign investors place buy‐side block orders at a smaller premium compared to individuals, while submitting sell‐side block orders at a smaller discount than individuals. Block orders tend to have longer order duration but lower fill rates. Domestic institutions themselves complete their orders faster than individuals do. Foreign investors have better market‐timing capabilities either for buying or selling block orders and thus obtain shorter order duration but higher fill rate.

Suggested Citation

  • Donald Lien & Pi‐Hsia Hung, 2025. "How do block orders affect trade premium and order execution quality on the Taiwan stock exchange?," The Financial Review, Eastern Finance Association, vol. 60(2), pages 393-415, May.
    • Handle: RePEc:bla:finrev:v:60:y:2025:i:2:p:393-415
    DOI: 10.1111/fire.12416
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    References listed on IDEAS

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