The costs and determinants of order aggressiveness

• 成果类型: Article
• 署名作者: Griffiths, MD; Smith, BF; Turnbull, DAS; White, RW
• 署名单位: Wilfrid Laurier University; Pepperdine University; Western University (University of Western Ontario); University Western Ontario Hospital
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00059-8
• 发表日期: 2000
• 页码: 65-88
• 关键词: price impact; Limit orders

摘要

This paper examines the costs and determinants of order aggressiveness. Aggressive orders have larger price impacts but smaller opportunity costs than passive orders. Price impacts are amplified by large orders, small firms, and volatile stock prices. To minimize the implementation shortfall, the optimal strategy is to enter buy (sell) orders at the bid task). Aggressive buy (sell) orders tend to follow other aggressive buy (sell) orders and occur when bid-ask spreads are narrow and depth on the same (opposite) side of the limit book is large (small). Aggressive buys are more likely than sells to be motivated by information. (C) 2000 Elsevier Science S.A. All rights reserved, JEL classification: G15; G24.