Stealth Trading, Price Manipulation and Investor Types in the Emerging Taiwan Equity Market

Lu, Ralph; Wei, Yu‐Chen; Chang, Chien-Wei

doi:10.2139/ssrn.1663844

Cited by 1 publication

(1 citation statement)

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“…In order to determine which trades move prices, we consider diff erent tradesize categories in which cumulative and average price changes are examined. Following Barclay and Warner [1993], Chakravarty [2001], Blau et al [2009], Lu et al [2009] and Ascioglu et al [2011] fi rst we obtain the price change (PCH) of a stock as a diff erence between the trade's price and the previous transaction price, PCH = P t -P t-1 , in a given trade-size category. Next we defi ne cumulative price change (CPCH) as a sum of all stock price changes within one stock in the given period and given trade size and additionally calculate the change in price over the full sample for each fi rm (FPCH) over all trade-size categories.…”

Section: Cumulative Price Change and Average Price Changementioning

confidence: 99%

Intraday stealth trading : Evidence from the Warsaw Stock Exchange

Będowska-Sójka

2014

EBR

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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 time of low volatility and they may achieve this by breaking up their trades into smaller parts. At a time of high volatility informed traders are willing to place large orders because high volatility provides a sufficient camouflage of their information. We examine volatility patterns for small, medium and large trades and consider how the duration between trades and spreads differs between trade-size categories. Our sample consists of data from the Warsaw Stock Exchange, which is organized as an order-driven market. We show that medium-size trades are associated with relatively large cumulative stock price changes, however these results are not robust when liquidity measures and the duration between the consecutive trades are taken into account. (original abstract)

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Section: Cumulative Price Change and Average Price Changementioning

confidence: 99%

Intraday stealth trading : Evidence from the Warsaw Stock Exchange

Będowska-Sójka

2014

EBR

View full text Add to dashboard Cite

show abstract

Stealth Trading, Price Manipulation and Investor Types in the Emerging Taiwan Equity Market

Cited by 1 publication

References 0 publications

Intraday stealth trading : Evidence from the Warsaw Stock Exchange

Intraday stealth trading : Evidence from the Warsaw Stock Exchange

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