Affiliated with RCfalse
Status已發表Published
Trade-size clustering and informed trading in global markets
Tao Chen
2020-10
Source PublicationInternational Journal of Finance and Economics
ABS Journal Level3
ISSN1076-9307
Volume25Issue:4Pages:579-597
Abstract

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
DOI10.1002/ijfe.1768
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000493775600001
PublisherWiley
Fulltext Access
Citation statistics
Cited Times [WOS]:3   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Tao Chen]'s Articles
Baidu academic
Similar articles in Baidu academic
[Tao Chen]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Tao Chen]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.