Figure 3. The proportions of canceled orders by each investor group over 15-minute intervals This figure plots the 15-minute order cancelation ratio for each investors group, defined as the number of canceled buy and sell orders over a given 15-minute interval to that by the investor group over the entire trading day, separately for large- and small-cap stocks. The three investor groups include FIs, DIs, and IIs standing for foreign investors, domestic institutions, and individual investors, respectively. Panel A. Buy orders for large-cap stocks Panel B. Sell orders for large-cap stocks Figure 4. The proportions of canceled orders for large-cap stocks in years 2007 and 2008 This figure plots the average 15-minute proportions of the number of canceled buy and sell orders for large-cap stocks in years 2007 and 2008, separately. Table 3. Aggressiveness of limit orders submitted before the open This table reports the proportions of canceled orders based on price aggressiveness, measured as the relative distance from the submitted prices to the previous closing prices. The order aggressiveness of limit orders submitted before the open in this paper as follows: The aggressiveness of buy order for stock = (Pi,jPi,C)/Pi,C, j i The aggressiveness of sell order for stock = (Pi,jPi,C)/Pi,C, j i where is the closing price for stock for the preceding trading day and is the submitted price Pi,C i Pi,j of order for stock For a given stock, the applied order aggressiveness measures the deviation of the j i. submitted price from the preceding closing price. All orders are sorted into the following five day’s groups: 0 the aggressiveness (the most aggressive), -0.5% the aggressiveness < 0%, -1% the ≤ ≤ ≤ aggressiveness < -0.5%, -2% the aggressiveness < -1%, and the aggressiveness < -2% (the least ≤ aggressive). FIs, DIs, and IIs stand for foreign investors, domestic institutions, and individual investors, respectively. Number of submitted buy orders Number of submitted sell orders Order aggressiveness ALL FIs DIs IIs ALL FIs DIs IIs Panel A. For large-cap stocks 1 (Most) 13871 159 720 12992 8147 296 712 7140 2 1305 49 43 1212 907 42 49 815 3 2591 64 47 2480 2162 69 56 2038
Figure 3. The proportions of canceled orders by each investor group over 15-minute intervals This figure plots the 15-minute order cancelation ratio for each investors group, defined as the number of canceled buy and sell orders over a given 15-minute interval to that by the investor group over the entire trading day, separately for large- and small-cap stocks. The three investor groups include FIs, DIs, and IIs standing for foreign investors, domestic institutions, and individual investors, respectively. Panel A. Buy orders for large-cap stocks Panel B. Sell orders for large-cap stocks Figure 4. The proportions of canceled orders for large-cap stocks in years 2007 and 2008 This figure plots the average 15-minute proportions of the number of canceled buy and sell orders for large-cap stocks in years 2007 and 2008, separately. Table 3. Aggressiveness of limit orders submitted before the open This table reports the proportions of canceled orders based on price aggressiveness, measured as the relative distance from the submitted prices to the previous closing prices. The order aggressiveness of limit orders submitted before the open in this paper as follows: The aggressiveness of buy order j for stock i = (Pi,jPi,C)/Pi,C, The aggressiveness of sell order j for stock i = (Pi,jPi,C)/Pi,C, where Pi,C is the closing price for stock i for the preceding trading day and Pi,j is the submitted price of order j for stock i. For a given stock, the applied order aggressiveness measures the deviation of the submitted price from the preceding day’s closing price. All orders are sorted into the following five groups: 0 ≤ the aggressiveness (the most aggressive), -0.5% ≤ the aggressiveness < 0%, -1% ≤ the aggressiveness < -0.5%, -2% ≤ the aggressiveness < -1%, and the aggressiveness < -2% (the least aggressive). FIs, DIs, and IIs stand for foreign investors, domestic institutions, and individual investors, respectively. Order aggressiveness Number of submitted buy orders Number of submitted sell orders ALL FIs DIs IIs ALL FIs DIs IIs Panel A. For large-cap stocks 1 (Most) 13871 159 720 12992 8147 296 712 7140 2 1305 49 43 1212 907 42 49 815 3 2591 64 47 2480 2162 69 56 2038
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