Trade Size Preference of Informed Traders in Indian Equity Markets

Autor:	Kidambi Sridharan Sriram, Arun Kumar Gopalaswamy
Rok vydání:	2018
Předmět:	040101 forestry 050208 finance 05 social sciences Equity (finance) 04 agricultural and veterinary sciences Monetary economics Nominal size Information asymmetry 0502 economics and business 0401 agriculture forestry and fisheries Trading strategy Business Aggregate level General Economics Econometrics and Finance Private information retrieval Finance Market conditions
Zdroj:	Emerging Markets Finance and Trade. 54:2153-2168
ISSN:	1558-0938 1540-496X
DOI:	10.1080/1540496x.2017.1392851
Popis:	This study utilized high frequency transactions data to analyse the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behaviour varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behaviour also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns and low volatility. This study also provides a rationale for such varied behaviour of informed traders.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::271065be7e7ba5babab5eedd56ca560c https://doi.org/10.1080/1540496x.2017.1392851 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.