Which trades move prices in emerging markets?: Evidence from China's stock market

This paper extends Barclay and Warner's [Barclay, M.J. and J.B. Warner (1993), ‘Stealth trading and volatility: which trades move prices?’, Journal of Financial Economics, vol. 34, pp. 281–306.] original work on stealth trading by analysing which trades move price for the emerging Chinese stock market. A large block trade/manipulation hypothesis is proposed in addition to the stealth and public information hypotheses examined by Barclay and Warner. Using high-frequency data the results show that while medium and large-size trades are associated with disproportionately large, overall, cumulative stock price changes, it is the large-size trades (in terms of the number of transactions) which have the largest effect on cumulative price increases. Thus, while there is some support for stealth trading in the Chinese market, there are other effects in operation such as large block trades/price manipulation.