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Trade-size clustering and informed trading in global markets
Chen, Tao
2019
Source PublicationINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
ISSN1076-9307
Volume49Pages:195-203
Abstract

Based on intraday data across 41 markets, this study examines whether informed traders exploit trade‐size clustering. Clustering trades are documented to predict price movements, to generate perpetual return impact, and to improve informational efficiency. Collectively, these findings suggest that the clustering strategy is leveraged by the informed to cover up their activities in global markets. In addition, the cross‐country analysis indicates that larger market capacity and better legal protection, as two predominant institutional features, are associated with a lower level of informed‐trade clustering. Finally, such negative interaction attenuates in countries with lot‐size regulations and at bellwether stocks.

KeywordBellwether Effects Lot Sizes Informed Trading Global Markets Clustering
DOI10.1002/ijfe.1768
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000493775600001
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Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Chen, Tao. Trade-size clustering and informed trading in global markets[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,2019,49:195-203.
APA Chen, Tao.(2019).Trade-size clustering and informed trading in global markets.INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,49,195-203.
MLA Chen, Tao."Trade-size clustering and informed trading in global markets".INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS 49(2019):195-203.
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