Pre-Holiday Limit Order Cancellation of Individual and Institutional Investors

Wei Yu Kuo, Jing Zhao

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

This paper shows that the time-to-cancellation is longer on trading days immediately before holidays. Pre-holiday time-to-cancellation is significantly higher for individual investors but not for institutional investors. Moreover, individual investors have a lower execution ratio and underperform institutional investors by a larger margin on days before holidays. These findings are consistent with the notion that pre-holiday inattention entails a higher opportunity cost for monitoring the market, and limit orders are more subject to the non-execution and pick-off risks on pre-holiday trading days.
Original languageEnglish
Article number103518
JournalFinance Research Letters
Volume52
Issue number103518
DOIs
Publication statusPublished - Mar 2023

Keywords

  • Institutional investors
  • Order cancellation
  • Pre-holiday trading
  • Retail investors

ASJC Scopus subject areas

  • Finance

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