کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959944 929392 2007 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An analysis of trade-size clustering and its relation to stealth trading
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
An analysis of trade-size clustering and its relation to stealth trading
چکیده انگلیسی

NYSE and Nasdaq trades increasingly cluster on multiples of 500, 1,000, and 5,000 shares. Such clustering varies over time and across stocks, and tends to increase with the level of trading activity. Furthermore, rounded trades tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized rounded trades tend to have greater relative price impact than large rounded trades. From these observations we surmise that trade-size clustering is consistent, at least in part, with the actions of stealth traders who tend to use medium-sized rounded transactions in an attempt to disguise their trades.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 84, Issue 2, May 2007, Pages 435–471
نویسندگان
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