Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange

摘要

We examine the relationships among stock traders' trading aggressiveness, order execution quality, and stock price movements in the Taiwan Stock Exchange. Our analyses yield the following findings. Institutional investors have a lower level of trading aggressiveness than individuals. In terms of order immediacy, investment trusts and foreign investors tend to pay higher (lower) prices to buy (sell) stocks. Professional institutions spend much shorter time completing trades per order (6 min), but obtain higher fill rates (about 99%) than other institutions and individuals. In addition, professional institutions tend to make smart decisions, earning profits for buy orders while reducing losses for sell orders. (C) 2019 Elsevier B.V. All rights reserved.