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Pre-holiday limit order cancellation of individual and institutional investors

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Listed:
  • Kuo, Wei-Yu
  • Zhao, Jing

Abstract

This paper shows that the time-to-cancellation is longer on trading days immediately before holidays. Pre-holiday time-to-cancellation is significantly higher for individual investors but not for institutional investors. Moreover, individual investors have a lower execution ratio and underperform institutional investors by a larger margin on days before holidays. These findings are consistent with the notion that pre-holiday inattention entails a higher opportunity cost for monitoring the market, and limit orders are more subject to the non-execution and pick-off risks on pre-holiday trading days.

Suggested Citation

  • Kuo, Wei-Yu & Zhao, Jing, 2023. "Pre-holiday limit order cancellation of individual and institutional investors," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006948
    DOI: 10.1016/j.frl.2022.103518
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    References listed on IDEAS

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    More about this item

    Keywords

    Pre-holiday trading; Order cancellation; Retail investors; Institutional investors;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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