Informativeness of Order Flow: The Role of Institutions vs. Individuals

36 Pages Posted: 6 Feb 2008

See all articles by Woon K. Wong

Woon K. Wong

IMRU, Cardiff Business School

Eric Girardin

University Aix-Marseille 2 - GREQAM


This paper uses a dynamic model of orders and stock prices, to assess the informativeness of order flows of individuals and institutions. Our unique transactions, orders and quotes dataset on the highly liquid order driven Taipei Stock Exchange, specifies the identity of traders, for limit and market order data for over 400 individual stocks. We suggest a new unit-informativeness measure which is independent of the volume of orders. We compare it to the relative informativeness measure of Hasbrouck (1991a, b). Because of their dominance in terms of trading volume, the relative informativeness metric implies that the individual's order flows are more informative than those of institutions. For institutional order flows, informativeness rises with company size, and has an inverse U-shaped intraday pattern. All such features are inverted when using our preferred unit informativeness measure.

Keywords: Informativeness, Informed traders, uninformed traders, institutions, individuals

JEL Classification: G14, G15

Suggested Citation

Wong, Woon K. and Girardin, Eric, Informativeness of Order Flow: The Role of Institutions vs. Individuals. Available at SSRN: or

Woon K. Wong (Contact Author)

IMRU, Cardiff Business School ( email )

Cardiff CF10 3EU
United Kingdom

Eric Girardin

University Aix-Marseille 2 - GREQAM ( email )

Centre de la Vieille Charité
Marseille, 13 002

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