UM  > 工商管理學院
The price impact of trade-size clustering: Evidence from an intraday analysis
Chen, Tao
2019
Source PublicationJOURNAL OF BUSINESS RESEARCH
ISSN0148-2963
Volume101Pages:300-314
Abstract

Motivated by the prevalence of trade-size clustering in financial markets, this study examines whether this trading irregularity affects intraday price dynamics. Based on a global sample, we document that stronger trade-size clustering is associated with lower temporary price impact, consistent with the stealth trading hypothesis. Meanwhile, a positive interaction between clustering and permanent price changes further confirms that clustering trades convey information, suggesting that they originate from informed investors. After partitioning sizes into top, round, and non-round groups, we find that all are informative, despite the finding that top and round (non-round) sizes have more (less) clustering.

KeywordTrade Size Non-round Size Price Impact Clustering
DOIhttps://doi.org/10.1016/j.jbusres.2019.04.032
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness
WOS IDWOS:000473379000026
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationDepartment of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Chen, Tao. The price impact of trade-size clustering: Evidence from an intraday analysis[J]. JOURNAL OF BUSINESS RESEARCH,2019,101:300-314.
APA Chen, Tao.(2019).The price impact of trade-size clustering: Evidence from an intraday analysis.JOURNAL OF BUSINESS RESEARCH,101,300-314.
MLA Chen, Tao."The price impact of trade-size clustering: Evidence from an intraday analysis".JOURNAL OF BUSINESS RESEARCH 101(2019):300-314.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Chen, Tao]'s Articles
Baidu academic
Similar articles in Baidu academic
[Chen, Tao]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Chen, Tao]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.