کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
976220 933098 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stealth trading: The case of the Tokyo Stock Exchange
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stealth trading: The case of the Tokyo Stock Exchange
چکیده انگلیسی

The stealth trading hypothesis asserts that informed traders trade strategically by breaking up their orders so as to more easily hide among the liquidity traders. Using data for the Tokyo Stock Exchange (TSE), a pure order-driven market, we find evidence that price changes are driven by small- and medium-size trades, with small trades making the greatest contribution to price change relative to their contribution to trading volume. We also find that large trades explain a greater portion of the cumulative price change on high volatility days. Hence, our results support the stealth trading hypothesis for the TSE.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 19, Issue 2, April 2011, Pages 194–207
نویسندگان
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