Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?
نویسندگان
چکیده
منابع مشابه
Stealth - trading : Which traders ’ trades move stock prices ? $
Using audit trail data for a sample of NYSE firms we show that medium-size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of Barclay and Warner’s (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative price imp...
متن کاملForthcoming: Journal of Financial Economics Stealth Trading: Which Traders' Trades Move Stock Prices?
Using audit trail data for a sample of NYSE firms, we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of the stealth trading hypothesis (Barclay and Warner (1993)). We find that the source of this disproportionately large cumulative pric...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1186782