The Interaction of Retail Order Placement with Transient Volatility

42 Pages Posted: 24 Aug 2009

See all articles by Philip R. Brown

Philip R. Brown

UWA Business School, M250; Financial Research Network (FIRN)

Marvin Wee

Australian National University (ANU); Financial Research Network (FIRN)

Date Written: August 24, 2009

Abstract

This paper investigates the effect of order placement by retail and institutional traders on transient share price volatility on the Australian Stock Exchange (ASX). Using Vector Auto-Regressive models, we find retail traders are attracted to volatile markets but their trading does not increase volatility in subsequent periods. On the other hand, institutional traders are not attracted to volatile markets but there is some evidence that institutional order placement increases market volatility.

Keywords: Institutional and retail traders, Order placement, Transient Volatility

JEL Classification: G10

Suggested Citation

Brown, Philip R. and Wee, Marvin, The Interaction of Retail Order Placement with Transient Volatility (August 24, 2009). 22nd Australasian Finance and Banking Conference 2009. Available at SSRN: https://ssrn.com/abstract=1460414 or http://dx.doi.org/10.2139/ssrn.1460414

Philip R. Brown

UWA Business School, M250 ( email )

Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Marvin Wee (Contact Author)

Australian National University (ANU) ( email )

The Australian National University
College of Business and Economics
Canberra, 2601
Australia
+61 2 61250416 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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