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The price impact of trade-size clustering: Evidence from an intraday analysis

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  • Chen, Tao

Abstract

Motivated by the prevalence of trade-size clustering in financial markets, this study examines whether this trading irregularity affects intraday price dynamics. Based on a global sample, we document that stronger trade-size clustering is associated with lower temporary price impact, consistent with the stealth trading hypothesis. Meanwhile, a positive interaction between clustering and permanent price changes further confirms that clustering trades convey information, suggesting that they originate from informed investors. After partitioning sizes into top, round, and non-round groups, we find that all are informative, despite the finding that top and round (non-round) sizes have more (less) clustering.

Suggested Citation

  • Chen, Tao, 2019. "The price impact of trade-size clustering: Evidence from an intraday analysis," Journal of Business Research, Elsevier, vol. 101(C), pages 300-314.
    • Handle: RePEc:eee:jbrese:v:101:y:2019:i:c:p:300-314
    DOI: 10.1016/j.jbusres.2019.04.032
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    Citations

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    Cited by:

    1. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
    2. Tao Chen, 2022. "Are individuals informed in global markets?," Empirical Economics, Springer, vol. 63(1), pages 243-263, July.
    3. Chen, Tao, 2021. "Informed trading and earnings announcement driven disagreement in global markets," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 43(C).
    4. Francesca Mariani & Maria Cristina Recchioni & Tai-Ho Wang & Roberto Giacalone, 2024. "Can market volumes reveal traders' rationality and a new risk premium?," Papers 2406.05854, arXiv.org.
    5. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.

    More about this item

    Keywords

    Trade size; Clustering; Price impact; Non-round size;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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