Price movement and trade size on the National Stock Exchange of India

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 depe...

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Bibliographic Details
Published inApplied economics Vol. 47; no. 45; pp. 4847 - 4854
Main Authors Mishra, Ajay Kumar, McInish, Thomas H., Tripathy, Trilochan
Format Journal Article
LanguageEnglish
Published London Routledge 26.09.2015
Taylor & Francis Ltd
Subjects
block price trading
equity market
Hypotheses
Hypothesis
India
Price level changes
Prices
Securities trading
stealth trading
Stock exchange
Stock exchanges
Stock prices
Studies
Trade
trades
India
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Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:0003-6846
1466-4283
DOI:10.1080/00036846.2015.1037436