Stealth trading: The case of the Tokyo Stock Exchange

被引：23

作者：

Ascioglu, Asli ^{[2
]}

Comerton-Forde, Carole ^{[3
]}

McInish, Thomas H. ^{[1
]}

机构：

[1] Univ Memphis, Dept Finance Insurance & Real Estate, Fogelman Coll, Memphis, TN 38111 USA

[2] Bryant Univ, Smithfield, RI 02917 USA

[3] Univ Sydney, Sydney, NSW 2006, Australia

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2011年 / 19卷 / 02期

关键词：

Microstructure; Stealth trading; Tokyo Stock Exchange; TRADERS; PRICES;

D O I：

10.1016/j.pacfin.2010.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：194 / 207

页数：14

共 16 条

[1]

ADMATI AR, 1988, REV FINANC STUD, V1, P1

[2] Stealth trading in options markets [J].

Anand, Amber ;

Chakravarty, Sugato .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2007, 42 (01) :167-187

[3] STEALTH TRADING AND VOLATILITY - WHICH TRADES MOVE PRICES [J].

BARCLAY, MJ ;

WARNER, JB .

JOURNAL OF FINANCIAL ECONOMICS, 1993, 34 (03) :281-305

[4]

Blau B.M., 2009, J. Financ. Res, V32, P1

[5]

Campbell J., 2004, Caught on tape: Predicting institutional ownership with order flow

[6] Stealth-trading: Which traders' trades move stock prices? [J].

Chakravarty, S .

JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (02) :289-307

[7]

Comerton-Forde C., 2006, Pacific-Basin Finance Journal, V14, P1, DOI DOI 10.1016/J.PACFIN.2005.05.002

[8] STRATEGIC TRADING WITH ASYMMETRICALLY INFORMED TRADERS AND LONG-LIVED INFORMATION [J].

FOSTER, FD ;

VISWANATHAN, S .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1994, 29 (04) :499-518

[9] Strategic trading when agents forecast the forecasts of others [J].

Foster, FD ;

Viswanathan, S .

JOURNAL OF FINANCE, 1996, 51 (04) :1437-1478

[10]

HANSCH O, 2007, WHICH TRADES MOVE ST

← 1 2 →