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Price movement and trade size on the National Stock Exchange of India.
- Source :
- Applied Economics; 2015, Vol. 47 Issue 45, p4847-4854, 8p, 5 Charts, 1 Graph
- Publication Year :
- 2015
-
Abstract
- Using data for the National Stock Exchange of India, we examine three hypotheses about which trades move prices. The Stealth Trading Hypothesis proposes that cumulative price changes (CPCs) are concentrated in particular trade sizes due to the strategic trading of informed traders. We find that depending on market conditions, from 60% to 80% of the CPC is concentrated in small trade sizes, with almost all of the remaining price change concentrated in medium trade sizes. These results support the Stealth Trading Hypothesis. [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCK exchanges
STOCK research (Finance)
SECURITIES trading
FINANCIAL markets
Subjects
Details
- Language :
- English
- ISSN :
- 00036846
- Volume :
- 47
- Issue :
- 45
- Database :
- Complementary Index
- Journal :
- Applied Economics
- Publication Type :
- Academic Journal
- Accession number :
- 103687436
- Full Text :
- https://doi.org/10.1080/00036846.2015.1037436