Do Behavioral Biases Affect Order Aggressiveness?

61 Pages Posted: 19 Aug 2013 Last revised: 15 Sep 2018

See all articles by Jiangze Bian

Jiangze Bian

University of International Business and Economics (UIBE)

Kalok Chan

CUHK Business School

Donghui Shi

Shanghai Stock Exchange

Hao Zhou

Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2014

Abstract

We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well as trading records of all investors. We find investors are less (more) aggressive in submitting sell orders for stocks that experienced losses (gains). The sell order aggressiveness is negatively related to the size of losses, but has a quadratic relationship with the size of gains. Results are consistent with the combination of disposition and house money effects.

Keywords: Order submission, Order aggressiveness, Disposition effect

JEL Classification: G12, G14, G18

Suggested Citation

Bian, Jiangze and Chan, Kalok and Shi, Donghui and Zhou, Hao, Do Behavioral Biases Affect Order Aggressiveness? (December 1, 2014). Asian Finance Association (AsianFA) 2015 Conference Paper; PBCSF-NIFR Research Paper No. 13-01. Available at SSRN: https://ssrn.com/abstract=2312134 or http://dx.doi.org/10.2139/ssrn.2312134

Jiangze Bian

University of International Business and Economics (UIBE) ( email )

10, East Huixin Street, Chaoyang District
Beijing, 100029
China

Kalok Chan (Contact Author)

CUHK Business School ( email )

Hong Kong
852 3943 9988 (Phone)

Donghui Shi

Shanghai Stock Exchange ( email )

Shanghai 200120
China

Hao Zhou

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China
86-10-62790655 (Phone)

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