Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions


  • Yun-Yi Wang

    Corresponding author
    1. Yun-Yi Wang is an Assistant Professor at the Department of Finance, Feng Chia University, Taichung, Taiwan, ROC
    • Correspondence author, Department of Finance, Feng Chia University, 100 Wenhwa Road, Seatwen, Taichung, Taiwan 40724, ROC. Tel: +886-4-24517250 (ext. 4175), Fax: +886-4-24513796, e-mail: yyiwang@fcu.edu.tw

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  • The author would like to thank the editor (Robert Webb), Robin K. Chou, and especially anonymous referees for the constructive comments. The author is grateful to the National Science Council of Taiwan for the financial support provided for this study.


We set out in this study to empirically investigate the intraday pattern of order splitting behavior, along with the impacts of market conditions on the order splitting behavior of different types of traders. Our results indicate an intraday pattern in order splitting trading, which is found to be at its highest during the first hour of the trading day. We also present consistent evidence to show that order splitting behavior varies with market conditions, with a clear increase in such behavior when volume is at a high level, and when returns and volatility are at low levels. These results are particularly evident for foreign institutions and proprietary firms, although less so for domestic institutions and individual traders; this is possibly due to the greater sophistication of foreign institutional and proprietary firm traders, which enables them to dynamically alter their order submission strategies, depending upon the prevailing market conditions. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:883–910, 2014