Intraweek and intraday trade patterns and dynamics |
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| Authors: | Petko S Kalev Linh T Pham |
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| Institution: | Department of Accounting and Finance, Faculty of Business and Economics, Monash University, Australia;Faculty of Economics & Business, University of Sydney, Sydney, NSW 2006, Australia |
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| Abstract: | This paper investigates informed traders' order-splitting strategies on different days of the week and times of the day for a sample of stocks traded on the Australian Stock Exchange. Based on cumulative price changes, we document that informed traders tend to use medium size trades. We find that informed investors concentrate their strategic trading on Mondays and particularly during the first trading hour. In addition, informed investors also use large size trades around market opening and closing, as well as on days other than Mondays and Fridays. These results are more pronounced for the large market capitalization stocks. |
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