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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/65022


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    题名: Strategic Order Splitting, Order Choice and Aggressiveness: Evidence from the Taiwan Futures Exchange
    作者: Chou, Robin K.;Yun-Yi Wang
    贡献者: 財管系
    日期: 2009.12
    上传时间: 2014-03-31 15:43:44 (UTC+8)
    摘要: We investigate the strategic order-splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split their orders and it appears that the price adjustments after their trades are permanent. Foreign institutional traders and futures proprietary firms seem to be better informed, with their orders apparently being split so as to reveal their information on a gradual basis. Furthermore, we find that foreign institutional traders and futures proprietary firms use fewer market orders, choosing instead to submit aggressive limit orders, possibly due to their desire to make the most of their information advantage. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1102–1129, 2009
    關聯: Journal of Futures Markets,29(12), 1102-1129
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20416
    DOI: 10.1002/fut.20416
    显示于类别:[財務管理學系] 期刊論文

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