Intraday stealth trading : Evidence from the Warsaw Stock Exchange
Barbara Będowska-Sójka
Abstract:The intraday volatility and volume U-shaped pattern is well documented in literature. It describes the common pattern of investor's behaviour on the stock markets: investors trade in the beginning and the end of the day more intensively than at the lunch time. However that pattern does not differentiate between the trades' size and investor characteristics. The stealth trading hypothesis states that informed traders tend to hide their information. There is a need for such behaviour at the tim… Show more
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