Order Aggressiveness of Institutional and Individual Investors
Posted: 7 Feb 2015
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: Suggested Citation