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| Author: | Alexander, G.J. Peterson, M.A. |
| Title: | An analysis of trade-size clustering and its relation to stealth trading |
| Journal: | Journal of Financial Economics
2007 : MAY, VOL. 84:2, p. 435-471 |
| Index terms: | stock markets trading volumes |
| Freeterms: | clustering USA |
| Language: | eng |
| Abstract: | NYSE and Nasdaq trades increasingly cluster on multiples of 500 etc. shares. Such clustering (hereafter as: clstg.) varies across stocks and over time, tending to increase with the level of trading activity. In addition, rounded trades (here as: rnd-ts.) tend to have more persistence both in occurrence and in trade initiation. Finally, medium-sized (as: med-szd.) rnd-ts. tend to have greater relative price impact than large rnd-ts. It is supposed that trade-size clstg. is consistent,..., with the actions of stealth traders tending to use med-szd. rnd-ts. in attempting to disguise their trades. |
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