Stealth-trading: Which traders' trades move stock prices?

Chakravarty, Sugato

doi:10.1016/s0304-405x(01)00063-0

Cited by 609 publications

(426 citation statements)

References 39 publications

Supporting

Mentioning

384

Contrasting

Unclassified

Order By: Relevance

“…Panel B reports that before decimalization, the WPC of medium-sized trades is 70% in 1998 and 63% in 1995. These estimates are consistent with Chakravarty (2001), who documents that the cumulative price changes for medium-sized trades range from 65% to 78%. Next, we examine the WPC of different-sized trades during seven intraday intervals.…”

Section: Resultssupporting

confidence: 90%

“…Consistent with their hypothesis, they find that more than 92% of the cumulative price change occurs in medium-sized trades. Chakravarty (2001) further investigates the stealth trading hypothesis by distinguishing between institutional and individual traders. Chakravarty's investigation is motivated by several studies that show that institutions are more informed than individuals (Lo and MacKinlay 1990;Cornell and Sirri 1992;Chakravarty andMcConnell 1997, 1999).…”

Section: Prior Literaturementioning

confidence: 99%

“…Chakravarty (2001) further investigates the stealth trading hypothesis by distinguishing between institutional and individual traders. Chakravarty's investigation is motivated by several studies that show that institutions are more informed than individuals (Lo and MacKinlay 1990;Cornell and Sirri 1992;Chakravarty andMcConnell 1997, 1999). Using a sample of 97 NYSE-listed stocks that experience at least a 5% stock price increase, Chakravarty finds that nearly 80% of the cumulative price change occurs from medium-sized trades (500 to 9,999 shares) by institutions.…”

Section: Prior Literaturementioning

confidence: 99%

“…We separate trades into trade size categories following Barclay and Warner (1993), Chakravarty (2001), Alexander and Peterson (2007), and Hansch and Choe (2007). Small trades are trades of 100-499 shares, medium trades are 500-9,999 shares, and large trades are greater than or equal to 10,000 shares.…”

Section: Data Descriptionmentioning

confidence: 99%

“…Evidence of the stealth trading hypothesis, which posits that informed investors break up their trades into smaller trades to hide their information, is found by Barclay and Warner (1993), Chakravarty (2001), and Hansch and Choe (2007). Together with the ex ante theories explaining the intraday pattern of returns and trading activity, stealth trading suggests that smaller trades will move prices when volume is low because informed traders do not want to reveal their information to the market.…”

Section: Introductionmentioning

confidence: 98%

See 4 more Smart Citations

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

Blau

Ness

2008

SSRN Journal

View full text Add to dashboard Cite

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.

show abstract

Section: Resultssupporting

confidence: 90%

Section: Prior Literaturementioning

confidence: 99%

Section: Prior Literaturementioning

confidence: 99%

Section: Data Descriptionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 98%

See 3 more Smart Citations

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

Blau

Ness

2008

SSRN Journal

View full text Add to dashboard Cite

show abstract

Transactions in futures markets: Informed or uninformed?

Frino

Kruk

Lepone

2007

Journal of Futures Markets

View full text Add to dashboard Cite

Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information.

show abstract

A new information share measure

Lien

Shrestha

2009

Journal of Futures Markets

137

175

View full text Add to dashboard Cite

In this study, we modify the information share (IS) originally proposed by Hasbrouck, J. (1995). The proposed modified information share (MIS) leads to a unique measure of price discovery instead of the upper and lower IS bounds. Performance of MIS is compared with the Hasbrouck IS measure and the Gonzalo-Granger permanent-transitory decomposition (PT/GG)-based measure using simulations with 1,000 replications applied to the same three examples considered by Hasbrouck, J. (2002). The MIS is found to outperform both Hasbrouck IS measure and PT/GG measure. The empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market. Hence, the evidence supports the transaction cost hypothesis as well as the model proposed by Garbade, K. D., and Silber, W. L. (1983).

show abstract

Stealth-trading: Which traders' trades move stock prices?

Cited by 609 publications

References 39 publications

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

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

Transactions in futures markets: Informed or uninformed?

A new information share measure

Contact Info

Product

Resources

About