Errata

Research documents a U-shaped intraday pattern of returns. We examine which trade sizes drive the U-shaped pattern and find that intraday price changes from larger trades exhibit a U-shaped pattern whereas price changes from smaller trades show a reverse U-shaped pattern. We argue that price changes from smaller trades are higher during the middle of the day because informed investors break up their trades to disguise their information when intraday volume is low. Price changes from larger trades are likely higher at the beginning and end of the day because high volume allows informed investors to increase their trade size without revealing their information to the market.

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The Electronic Commerce Bill and the Integrative Adaptation Model of E-Commerce Regulation and Taxation

Azam

2010

SSRN Journal

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Errata

Cited by 6 publications

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Hubbert’s theory and the ultimate coal production in temrs of the Kuznetsk Coal Basin

Hubbert’s theory and the ultimate coal production in temrs of the Kuznetsk Coal Basin

Intraday Stealth Trading: Which Trades Move Prices During Periods of High Volume?

The Electronic Commerce Bill and the Integrative Adaptation Model of E-Commerce Regulation and Taxation

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