Size and information revelation in securities trading |
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Authors: | Ryan Garvey Tao Huang Fei Wu |
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Institution: | 1. Palumbo-Donahue School of Business, Department of Finance and Economics, Duquesne University, Pittsburgh, PA, USA;2. International Business School Suzhou, Xi’an Jiangtong-Liverpool University, Suzhou, China;3. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, China;4. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, China |
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Abstract: | We examine differences in information content between order submission sizes and trade sizes by U.S. equity traders. Increasing (decreasing) order submission (trade) size is reflective of information. The result suggests that better-informed traders want to trade in a large size, but that they engage in stealth trading practices or break larger orders into smaller sizes in order to conceal information. While prior studies tend to narrowly focus on trade executions at the market-centre level, our findings indicate that order submission size varies significantly from trade size and that both sizes are informative about future prices, albeit in an inverse manner. |
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Keywords: | Trading information order size trade size |
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