The Impact of Matching Mechanism Changes on Order Aggressiveness

Abstract

This study explores the impact of the shift from call auction to continuous trading in the Taiwan stock market's order matching mechanism on investor order placement behavior. The study selects intraday order and transaction data, covering 481 listed companies, and analyzes the data in 30-minute intervals. An "order activity" index, weighted by order quantity and considering price and volume, is constructed to measure order placement strategies under different matching mechanisms. Empirical results show that with shorter matching times, more immediate information disclosure, and increased market transparency, overall investors order activity significantly increases. Individual investors show the most significant increase across all time periods, while institutional investors exhibit higher activity before the market closes. Faster information transmission and improved transaction efficiency encourage investors to adopt more aggressive order placement strategies to increase trading opportunities and react to market information more promptly.