Status已發表Published
Trade‐size clustering and informed trading in global markets
Chen, T.
2020-10-01
Source PublicationInternational Journal of Finance and Economics
ISSN1099-1158
Pages579-597
AbstractBased on intraday data across 41 markets, this study examines whether informed traders exploit trade‐size clustering. Clustering trades are documented to predict price movements, to generate perpetual return impact, and to improve informational efficiency. Collectively, these findings suggest that the clustering strategy is leveraged by the informed to cover up their activities in global markets. In addition, the cross‐country analysis indicates that larger market capacity and better legal protection, as two predominant institutional features, are associated with a lower level of informed‐trade clustering. Finally, such negative interaction attenuates in countries with lot‐size regulations and at bellwether stocks.
KeywordClustering Informed Trading Global Markets Lot Sizes Bellwether Effects
URLView the original
Language英語English
The Source to ArticlePB_Publication
PUB ID49213
Fulltext Access
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorChen, T.
Recommended Citation
GB/T 7714
Chen, T.. Trade‐size clustering and informed trading in global markets[J]. International Journal of Finance and Economics,2020:579-597.
APA Chen, T..(2020).Trade‐size clustering and informed trading in global markets.International Journal of Finance and Economics,579-597.
MLA Chen, T.."Trade‐size clustering and informed trading in global markets".International Journal of Finance and Economics (2020):579-597.
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