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Asian Review of Financial Research, Vol.16, No.2.
pp.1~29
vol.16 no.2
pp.1~29
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USing a transactions database for stocks traded on the Korea Stock Exchange, we find strong evidence supporting the stealth trading hypothesis advanced by Barclay and Warner (1993). Medium-size trades are associated with a disproportionately large cumulative price change relative to their proportion of all trades , share vOlume, and won vÀÌ ume. We also find that the price contribution of medium-size trades increases as the measurement interval increases. This result indicates that medium-size trades contain information on medium- to long-term price trends. Small-size trades contribute to the cumulative stock price change negatively, which is consistent with a common perception that small investors tend to chase very short-term profits. Surprisingly, we find evidence suggesting that large-size trades may
Stalth Trading on the Korea Stock Market
Hyuk Choe
Jay M. Chung
Woo-Baik Lee
USing a transactions database for stocks traded on the Korea Stock Exchange, we find strong evidence supporting the stealth trading hypothesis advanced by Barclay and Warner (1993). Medium-size trades are associated with a disproportionately large cumulative price change relative to their proportion of all trades , share vOlume, and won vÀÌ ume. We also find that the price contribution of medium-size trades increases as the measurement interval increases. This result indicates that medium-size trades contain information on medium- to long-term price trends. Small-size trades contribute to the cumulative stock price change negatively, which is consistent with a common perception that small investors tend to chase very short-term profits. Surprisingly, we find evidence suggesting that large-size trades may