Work

How do block orders affect trade premium and order execution quality on the Taiwan stock exchange?

Year: 2024

Type: article

Abstract: This research investigates how block orders affect trade premium and order execution quality across trader types in Taiwan's order‐driven call market. Foreign investors place buy‐side block orders at a smaller premium compared to individuals, while submitting sell‐side block orders at a smaller discount than individuals. Block orders tend to have longer order duration but lower fill rates. Domestic institutions themselves complete their orders faster than individuals do. Foreign investors have better market‐timing capabilities either for buying or selling block orders and thus obtain shorter order duration but higher fill rate.

Source: Financial Review

DOI: 10.1111/fire.12416

Authors: Donald Lien, Pi‐Hsia Hung

Institutions: The University of Texas at San Antonio, National Chi Nan University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: Ministry of Science and Technology, Taiwan, National Science and Technology Council

Award: Determinants and Influences of Block Orders: an Intraday Analysis of the Taiwan Stock Exchange