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

Author

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  • Ajay Kumar Mishra
  • Thomas H. McInish
  • Trilochan Tripathy

Abstract

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.

Suggested Citation

  • Ajay Kumar Mishra & Thomas H. McInish & Trilochan Tripathy, 2015. "Price movement and trade size on the National Stock Exchange of India," Applied Economics, Taylor & Francis Journals, vol. 47(45), pages 4847-4854, September.
    • Handle: RePEc:taf:applec:v:47:y:2015:i:45:p:4847-4854
    DOI: 10.1080/00036846.2015.1037436
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    Cited by:

    1. Natashekara, Karthik & Sampath, Aravind, 2024. "Informed trading and cryptocurrencies. New evidence using tick-by-tick data," Finance Research Letters, Elsevier, vol. 61(C).
    2. Chen, Tao, 2019. "Trade-size clustering and price efficiency," Japan and the World Economy, Elsevier, vol. 49(C), pages 195-203.
    3. Mishra, Ajay Kumar & Tripathy, Trilochan, 2018. "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 63-72.

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