کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961093 | 929782 | 2010 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Whose trades convey information? Evidence from a cross-section of traders
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders' trades which-simultaneously-use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 101-128
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 101-128
نویسندگان
Lukas Menkhoff, Maik Schmeling,