Stealth trading and volatility. Which trades move prices?
Опубликовано на портале: 02-10-2003
Journal of Financial Economics.
1993.
Vol. 34.
No. 3.
P. 281-305.
We examine the proportion of a stock's cumulative price change that occurs in each
trade-size category, using transactions data for a sample of NYSE firms. Although
the majority of trades are small, most of the cumulative stock-price change is due
to medium-size trades. This evidence is consistent with the hypothesis that informed
trades are concentrated in the medium-size category, and that price movements are
due mainly to informed traders' private information.
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