An analysis of trade-size clustering and its relation to stealth trading

• 成果类型: Article; Proceedings Paper
• 署名作者: Alexander, Gordon J.; Peterson, Mark A.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Southern Illinois University System; Southern Illinois University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.02.005
• 发表日期: 2007
• 页码: 435-471
• 关键词: trade-size clustering; stealth trading; informed traders; Price impact

摘要

NYSE and Nasdaq trades increasingly cluster on multiples of 500, 1,000, and 5,000 shares. Such clustering varies over time and across stocks, and tends to increase with the level of trading activity. Furthermore, rounded trades tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized rounded trades tend to have greater relative price impact than large rounded trades. From these observations we surmise that trade-size clustering is consistent, at least in part, with the actions of stealth traders who tend to use medium-sized rounded transactions in an attempt to disguise their trades. (c) 2006 Elsevier B.V. All rights reserved.