Journal of Financial Economics Vol. 34 No. 3 1993
Stealth trading and volatility
open access
Abstract
We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.
- DOI
- 10.1016/0304-405x(93)90029-b
- Volume
- 34
- Issue
- 3
- Pages
- 281-305
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref