Order Aggressiveness, Price Impact, and Investment Performance in a Pure Order-Driven Stock Market

摘要

This study provides an order-level angle, which is more directly mapped to traders’ initial trading requirement, to investigate the relationship between order aggressiveness, price impact, and investment performance. Our results reveal several findings. First, dealers exhibit the most aggressive trading behavior. Second, traders’ order aggressiveness is affected by market conditions. Third, mutual funds and foreign investors apparently influence transitory price movements through their direct buying behavior, rather than their order aggressiveness. Fourth, foreign investors’ aggressive buy orders perform better than other traders in both bearish and bullish markets. Fifth mutual funds’ aggressive selling is related to informed trading.