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Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions
Author(s) -
Wang YunYi
Publication year - 2014
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21622
Subject(s) - sophistication , order (exchange) , futures contract , volatility (finance) , futures market , financial economics , index (typography) , economics , order book , business , monetary economics , finance , computer science , social science , sociology , world wide web
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