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- W2129334443 abstract "This letter first examines the effectiveness of the order-splitting strategy by analysing the unique intraday dataset of the KOSPI200 futures market, which contains high-quality information on the classes and identification of investors. The empirical finding indicates that a significant number of traders fragment their trades, and these split trades are generally more informative than nonsplit trades. When trades are fragmented, the price impact of buy trades is significantly larger than the price impact of sell trades. By conducting an analysis of investor type, we also find that the order-splitting strategy of domestic individuals, banks and foreign institutions is quite successful in the futures market; on the other hand, the split orders submitted by domestic money managers typically incur a substantial loss." @default.
- W2129334443 created "2016-06-24" @default.
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- W2129334443 date "2012-04-01" @default.
- W2129334443 modified "2023-10-14" @default.
- W2129334443 title "The effectiveness of the order-splitting strategy: an analysis of unique data" @default.
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- W2129334443 doi "https://doi.org/10.1080/13504851.2011.587764" @default.
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