IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v25y2018i15p1083-1086.html
   My bibliography  Save this article

Size and information revelation in securities trading

Author

Listed:
  • Ryan Garvey
  • Tao Huang
  • Fei Wu

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.

Suggested Citation

  • Ryan Garvey & Tao Huang & Fei Wu, 2018. "Size and information revelation in securities trading," Applied Economics Letters, Taylor & Francis Journals, vol. 25(15), pages 1083-1086, September.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:15:p:1083-1086
    DOI: 10.1080/13504851.2017.1397844
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2017.1397844
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2017.1397844?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:25:y:2018:i:15:p:1083-1086. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.