STEALTH TRADING AND VOLATILITY - WHICH TRADES MOVE PRICES

• 成果类型: Article
• 署名作者: BARCLAY, MJ; WARNER, JB
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(93)90029-B
• 发表日期: 1993
• 页码: 281-305
• 关键词: microstructure; volatility; INSIDERS; volume; EFFICIENCY

摘要

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.