Order aggressiveness of different broker-types in response to monetary policy news
This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period Dec...
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| Format: | Journal Article |
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Elsevier BV
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/22754 |
| _version_ | 1848750959416573952 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period Dec 2007–Dec 2014, I identify a sharp increase in the number of orders submissions in the period following RBA announcements. Orders are more aggressive, and more abundant, when there is less information for investors to digest. On average, retail orders are more aggressive and are exclusively concerned with the likelihood of order execution. The submission decision of institutional brokers is more nuanced and evolves over time as market conditions change and information arrives. I also recognize differences in order aggressiveness attributable to firm-size and industry. |
| first_indexed | 2025-11-14T07:45:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-22754 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:45:07Z |
| publishDate | 2016 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-227542019-02-24T23:20:02Z Order aggressiveness of different broker-types in response to monetary policy news Smales, Lee This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period Dec 2007–Dec 2014, I identify a sharp increase in the number of orders submissions in the period following RBA announcements. Orders are more aggressive, and more abundant, when there is less information for investors to digest. On average, retail orders are more aggressive and are exclusively concerned with the likelihood of order execution. The submission decision of institutional brokers is more nuanced and evolves over time as market conditions change and information arrives. I also recognize differences in order aggressiveness attributable to firm-size and industry. 2016 Journal Article http://hdl.handle.net/20.500.11937/22754 10.1016/j.pacfin.2016.02.005 Elsevier BV fulltext |
| spellingShingle | Smales, Lee Order aggressiveness of different broker-types in response to monetary policy news |
| title | Order aggressiveness of different broker-types in response to monetary policy news |
| title_full | Order aggressiveness of different broker-types in response to monetary policy news |
| title_fullStr | Order aggressiveness of different broker-types in response to monetary policy news |
| title_full_unstemmed | Order aggressiveness of different broker-types in response to monetary policy news |
| title_short | Order aggressiveness of different broker-types in response to monetary policy news |
| title_sort | order aggressiveness of different broker-types in response to monetary policy news |
| url | http://hdl.handle.net/20.500.11937/22754 |