Order Aggressiveness of Institutional and Individual Investors

Posted: 7 Feb 2015

See all articles by Huu Nhan Duong

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Petko S. Kalev

La Trobe Business School

Chandrasekar Krishnamurti

Monash University

Date Written: 2009


This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual investors become more aggressive when the same-side (opposite-side) market depth increases (decreases). When the spread widens, both individual and institutional investors tend to become less aggressive. Institutional investors are more aggressive in the opening hour of the trading day, while individual investors are less aggressive initially and increase their order aggressiveness during the rest of the trading day.

Keywords: Limit order book, Institutional and individual investors, Order aggressiveness

JEL Classification: C35, G15, G25, G29

Suggested Citation

Duong, Huu Nhan and Kalev, Petko S. and Krishnamurti, Chandrasekar, Order Aggressiveness of Institutional and Individual Investors (2009). Pacific-Basin Finance Journal, Vol. 17, No. 5, 2009, Available at SSRN: https://ssrn.com/abstract=2561818

Huu Nhan Duong (Contact Author)

Monash University - Department of Banking and Finance ( email )


Financial Research Network (FIRN)

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

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

Petko S. Kalev

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Chandrasekar Krishnamurti

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800

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