Are Investor’s Splitting Orders ?: A Literature Studies
(1) Faculty of Economics and Business Malikussaleh University, Aceh,, Indonesia
(2) Faculty of Economics and Business Universitas Syiah Kuala, Banda Aceh,, Indonesia
(3) Faculty of Economics and Business Universitas Syiah Kuala, Banda Aceh,, Indonesia
(4) Faculty of Economics and Business Universitas Syiah Kuala, Banda Aceh,, Indonesia
Copyright (c) 2019 Ghazali Syamni, Nasir Nasir, Said Musnadi, Faisal Faisal
DOI : https://doi.org/10.33122/ijase.v2i1.130
The purpose of this study is to analyses investor order splitting behavior in various exchanges market with a literature study approach. This study uses a literature study from various international journals and is reputable. The main finding of this study is that investors are reluctant to provide information to other investors. The behavior of investors who are reluctant to provide information to other investors is informed investors. Reluctance to provide information to other investors due to worry because the information is known by other investors so they cannot maintain the return that has been obtained from the superiority of information. So, to protect the information, informed investors break the trading orders they have into the size of intermediate trade.
Agudelo, D. A., Giraldo, S., & Villarraga, E. (2015). Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets. International Review of Economics & Finance, 39, 149-161.
Alexander, G. J., & Peterson, M. A. (2007). An analysis of trade-size clustering and its relation to stealth trading. Journal of Financial Economics, 84(2), 435-471.
Ascioglu, A., Comerton-Forde, C., & McInish, T. H. (2011). Stealth trading: the case of the Tokyo Stock Exchange. Pacific-Basin Finance Journal, 19(2), 194-207.
Barclay, M. J., & Warner, J. B. (1993). Stealth trading and volatility: Which trades move prices? Journal of Financial Economics, 34(3), 281-305.
Biais, B., Glosten, L., & Spatt, C. (2005). Market microstructure: A survey of microfoundations, empirical results, and policy implications. Journal of Financial Markets, 8(2), 217-264.
Biais, B., Mariotti, T., Rochet, J. C., & Villeneuve, S. (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1), 73-118.
Bloomfield, R., O’hara, M., & Saar, G. (2005). The “make or take” decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75(1), 165-199.
Chen, C.-n. (2013). The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market. International Review of Economics & Finance, 25, 272-281.
Chou, R. K., & Wang, Y. Y. (2009). Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(12), 1102-1129.
Copeland, T. E., & Galai, D. (1983). Information effects on the bid‐ask spread. The Journal of Finance, 38(5), 1457-1469.
Davis, R. L., Roseman, B. S., Van Ness, B. F., & Van Ness, R. (2017). 1-share orders and trades. Journal of Banking & Finance, 75, 109-117.
Doan, M. P., Alexeev, V., & Brooks, R. (2016). Concurrent momentum and contrarian strategies in the Australian stock market. Australian Journal of Management, 41(1), 77-106.
Easley, D., Engle, R. F., O'Hara, M., & Wu, L. (2008). Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometrics, 6(2), 171-207.
Easley, D., Hvidkjaer, S., & O'hara, M. (2002). Is information risk a determinant of asset returns? The Journal of Finance, 57(5), 2185-2221..
Easley, D., Kiefer, N. M., & O'Hara, M. (1997). The information content of the trading process. Journal of Empirical Finance, 4(2-3), 159-186.
Easley, D., & O'hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
Easley, D., & O'hara, M. (1992). Time and the process of security price adjustment. The Journal of Finance, 47(2), 577-605.
Foucault, T. (1999). Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets, 2(2), 99-134.
Foucault, T., Kadan, O., & Kandel, E. (2005). Limit order book as a market for liquidity. The Review of Financial Studies, 18(4), 1171-1217.
Foucault, T., & Menkveld, A. J. (2008). Competition for order flow and smart order routing systems. The Journal of Finance, 63(1), 119-158.
Garman, M. B. (1976). Market microstructure. Journal of Financial Economics, 3(3), 257-275.
Giambona, E., & Golec, J. (2010). Strategic trading in the wrong direction by a large institutional insider. Journal of Empirical Finance, 17(1), 1-22.
Glosten, L. R. (1994). Is the electronic open limit order book inevitable? The Journal of Finance, 49(4), 1127-1161.
Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71-100.
Goettler, R. L., Parlour, C. A., & Rajan, U. (2005). Equilibrium in a dynamic limit order market. The Journal of Finance, 60(5), 2149-2192.
Goettler, R. L., Parlour, C. A., & Rajan, U. (2009). Informed traders and limit order markets. Journal of Financial Economics, 93(1), 67-87.
Handa, P., Schwartz, R., & Tiwari, A. (2003). Quote setting and price formation in an order driven market. Journal of Financial Markets, 6(4), 461-489.
Hara, O. (2003). Market Microstructure Theory: Cambridge MA, Basil Blackwell.
Hasbrouck, J. (2007). Empirical market microstructure: The institutions, economics, and econometrics of securities trading: Oxford University Press.
Hautsch, N. (2011). Econometrics of financial high-frequency data: Springer Science & Business Media.
He, H., & Wang, J. (1995). Differential information and dynamic behavior of stock trading volume. The Review of Financial Studies, 8(4), 919-972.
Hendershott, T., & Moulton, P. C. (2011). Automation, speed, and stock market quality: The NYSE's hybrid. Journal of Financial Markets, 14(4), 568-604.
Huang, H.-C. (2011). An analysis of intraday return–order imbalance relation to stealth trading. Investment Management and Financial Innovations, 8(1), 234-242.
Huang, H. (2011). An analysis of intraday return–order imbalance relation to stealth trading. Investment Management and Financial Innovations, 8(1), 234-242.
Johnson, H., & Roseman, B. (2017). Odd lot order aggressiveness and stealth trading. Journal of Financial Research, 40(2), 249-281.
Kaniel, R., & Liu, H. (2006). So what orders do informed traders use? The Journal of Business, 79(4), 1867-1913.
Klein, O., Maug, E., & Schneider, C. (2017). Trading strategies of corporate insiders. Journal of Financial Markets, 34, 48-68.
Korczak, A., Korczak, P., & Lasfer, M. (2010). To trade or not to trade: The strategic trading of insiders around news announcements. Journal of Business Finance & Accounting, 37(3‐4), 369-407.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 1315-1335.
Lei, Q., & Wu, G. (2005). Time-varying informed and uninformed trading activities. Journal of Financial Markets, 8(2), 153-181.
Lin, Y. (2014). An empirical study on pre-trade transparency and intraday stealth trading. International Review of Economics & Finance, 30, 26-40.
Madhavan, A. (2000). Market microstructure: A survey. Journal of Financial Markets, 3(3), 205-258.
Menkhoff, L., & Schmeling, M. (2010). Whose trades convey information? Evidence from a cross-section of traders. Journal of Financial Markets, 13(1), 101-128.
Parlour, C. A. (1998). Price dynamics in limit order markets. The Review of Financial Studies, 11(4), 789-816.
Rannou, Y. (2017). Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. Research in International Business and Finance, 39, 779-808.
Roşu, I. (2009). A dynamic model of the limit order book. The Review of Financial Studies, 22(11), 4601-4641.
Ryu, D. (2012). The effectiveness of the order-splitting strategy: an analysis of unique data. Applied Economics Letters, 19(6), 541-549.
Sun, Y., & Ibikunle, G. (2017). Informed trading and the price impact of block trades: A high frequency trading analysis. International Review of Financial Analysis, 54, 114-129.
Tkatch, I., & Alam, Z. S. (2009). Strategic order splitting in automated markets. Available at SSRN 1400307.
Vayanos, D. (2001). Strategic trading in a dynamic noisy market. The Journal of Finance, 56(1), 131-171.
Wen-liang, G. H., & He, H.-R. (2014). Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market. Journal of International Financial Markets, Institutions and Money, 31, 187-215.
Article MetricsAbstract Views : 155 times
- There are currently no refbacks.