WHICH TRADE SIZES MOVE STOCK PRICES IN A FULLY AUTOMATED ORDER-DRIVEN MARKET? A CASE OF THE STOCK EXCHANGE OF THAILAND
Researchers (e.g., Kyle 1985) who examine informed trading suggest that profitmaximizing informed investors attempt to hide their trades by breaking up large trades into smaller trades and executing them over time in order to protect their valuable private information.1 Admati and Pfleiderer (1988) suggest that informed traders camouflage their information by trading during high volume periods. Barclay and Warner (1993) propose the stealth trading hypothesis and argue that informed traders who want to avoid detection will break up their trades into several medium-sized trades because small-sized trades increase the likelihood that their private information will be revealed too quickly, and large-sized trades may have an excessively large price impact. The empirical evidence from NYSE (Anand and Chakravarty 2006; Anand et al. 2005; Barclay and Warner 1993; Chakravarty 2001) supports the stealth trading hypothesis.
Charlie Charoenwong Nattawut Jenwittayaroje David Ding
Division of Banking and Finance Nanyang Business School Nanyang Technological University Singapore 6 Division of Business and Humanities University of New South Wales Asia Singapore 248922
国际会议
成都
英文
1-33
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）