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Trade-size clustering and informed trading in global markets
Tao Chen
Source PublicationInternational Journal of Finance and Economics
ABS Journal Level3

Based 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.

KeywordBellwether Effects Lot Sizes Informed Trading Global Markets Clustering
URLView the original
Indexed BySSCI
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000493775600001
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Cited Times [WOS]:3   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
Corresponding AuthorTao Chen
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Tao Chen. Trade-size clustering and informed trading in global markets[J]. International Journal of Finance and Economics,2020,25(4):579-597.
APA Tao Chen.(2020).Trade-size clustering and informed trading in global markets.International Journal of Finance and Economics,25(4),579-597.
MLA Tao Chen."Trade-size clustering and informed trading in global markets".International Journal of Finance and Economics 25.4(2020):579-597.
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