주문 공격성의 비용

Abstract

Using order data for 575 firms listed on Korea Stock Exchange, we examine that the

execution cost of order submission strategy and determinants of order type. We suggest the

evidence that investors in Korea Stock Exchange frequently submit the most passive order,

which is entered entirely into the limit-order book. This evidence is inconsistent with the

result that Bias-Hillion-Spatt (1995) and Griffiths-Smith-Turnbull-White (2000) suggested.

We also find that aggressive orders require a significant premium for immediacy of execution

while most passive orders have a negative price impact. The price impact of order type is

significantly related to the spread, relative order size and depth imbalance. Our results

indicate that an increase in spread positively influences the execution cost of aggressive order.

The execution cost of aggressive order is negatively associated with number of order

submitted and firm size, while positively associated with volatility and order size.