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Stealth-trading: Which traders' trades move stock prices?

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Cited by:

  1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
  2. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
  3. Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
  4. Schouten, Michael C., 2009. "The Case for Mandatory Ownership Disclosure," MPRA Paper 14139, University Library of Munich, Germany, revised 13 Mar 2009.
  5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  6. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
  7. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
  8. David Johnstone, 2007. "Economic Darwinism: Who has the Best Probabilities?," Theory and Decision, Springer, vol. 62(1), pages 47-96, February.
  9. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
  10. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
  11. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
  12. Jiang, Hao & Vayanos, Dimitri & Zheng, Lu, 2020. "Tracking biased weights: asset pricing implications of value-weighted indexing," LSE Research Online Documents on Economics 118847, London School of Economics and Political Science, LSE Library.
  13. Baik, Bok & Kang, Jun-Koo & Kim, Jin-Mo, 2010. "Local institutional investors, information asymmetries, and equity returns," Journal of Financial Economics, Elsevier, vol. 97(1), pages 81-106, July.
  14. Hankil Kang & Jangkoo Kang & Soonhee Lee, 2016. "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2335-2347, October.
  15. John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2004. "Caught on Tape: Predicting Institutional Ownership With Order Flow," Harvard Institute of Economic Research Working Papers 2046, Harvard - Institute of Economic Research.
  16. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
  17. Chune Young Chung & Yunjae Lee & Doojin Ryu, 2017. "Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 309-322, December.
  18. Chen, Tao, 2018. "Round-number biases and informed trading in global markets," Journal of Business Research, Elsevier, vol. 92(C), pages 105-117.
  19. Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.
  20. Cong Chen & Carole Comerton-Forde & David R. Gallagher & Terry S. Walter, 2010. "Investment manager skill in small-cap equities," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 23-49, April.
  21. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
  22. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2014. "Subscribing to transparency," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 189-206.
  23. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
  24. Sugato Chakravarty & Bonnie F. Van Ness & Robert A. Van Ness, 2005. "The Effect of Decimalization on Trade Size and Adverse Selection Costs," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 1063-1081, June.
  25. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2013. "The price impact of options and futures volume in after-hours stock market trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 984-1007.
  26. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  27. Hardy Johnson & Brian Roseman, 2017. "Odd Lot Order Aggressiveness And Stealth Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 249-281, June.
  28. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
  29. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany.
  30. Cai, Fang & Zheng, Lu, 2004. "Institutional trading and stock returns," Finance Research Letters, Elsevier, vol. 1(3), pages 178-189, September.
  31. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
  32. Bidisha Chakrabarty & Kenneth W. Shaw, 2008. "Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1220-1244, November.
  33. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
  34. Ramalingegowda, Santhosh & Yu, Yong, 2012. "Institutional ownership and conservatism," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 98-114.
  35. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  36. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
  37. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
  38. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 219-242, September.
  39. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
  40. Hong, Gwangheon & Lee, Bong Soo, 2011. "The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market," Japan and the World Economy, Elsevier, vol. 23(4), pages 273-287.
  41. Yingyi Hu, 2019. "Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market," Annals of Operations Research, Springer, vol. 281(1), pages 253-274, October.
  42. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
  43. Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015. "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 237-250.
  44. Wang, Weimin & (Frank) Wang, Xu, 2014. "Predicting earnings in a poor information environment," Journal of Contemporary Accounting and Economics, Elsevier, vol. 10(1), pages 46-58.
  45. Christopher S. Armstrong & John E. Core & Daniel J. Taylor & Robert E. Verrecchia, 2011. "When Does Information Asymmetry Affect the Cost of Capital?," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 1-40, March.
  46. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2017. "Informativeness of trade size in foreign exchange markets," Economics Letters, Elsevier, vol. 150(C), pages 27-33.
  47. Çetin, Umut & Waelbroeck, Henri, 2023. "Power laws in market microstructure," LSE Research Online Documents on Economics 120809, London School of Economics and Political Science, LSE Library.
  48. Alastair Marsden & Russell Poskitt, 2009. "An Analysis of ASX Price Queries," Australian Accounting Review, CPA Australia, vol. 19(3), pages 217-230, September.
  49. Upson, James & McInish, Thomas & IV, B. Hardy Johnson, 2021. "Order based versus level book trade reporting: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 125(C).
  50. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
  51. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
  52. Chen-Chang Lo & Yaling Lin & Jiann-Lin Kuo & Yi Ting Wen, 2021. "The Relation Between Trading Volume Concentration and Stock Returns," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 82-89, 09-2021.
  53. Cai, Jinghan & He, Jia & He, Jibao, 2010. "How better informed are the institutional investors?," Economics Letters, Elsevier, vol. 106(3), pages 234-237, March.
  54. Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
  55. Meihui Guo & Yi-Ting Guo & Chi-Jeng Wang & Liang-Ching Lin, 2015. "Assessing influential trade effects via high-frequency market reactions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1458-1471, July.
  56. Hao FANG & Yang-Cheng Lu & Hwey-Yun Yau & Yen-Hsien Lee, 2013. "Stock Characteristics Herded By Foreign Investors With Higher Abnormal Returns In The Taiwan Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 232-245, December.
  57. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
  58. Xiaojun Chu & Jianying Qiu, 2021. "Forecasting stock returns using first half an hour order imbalance," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3236-3245, July.
  59. Du, Brian & Serrano, Alejandro & Vianna, Andre, 2021. "Short-term institutions’ information advantage and overvaluation," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  60. Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert A., 2018. "Odd-lot trading in U.S. equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 125-133.
  61. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
  62. Cai, Jun & Ho, Richard Y.K. & Zhang, Zheng, 2022. "Foreign investors, private information, and price discovery," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 506-525.
  63. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
  64. Ralf Bebenroth & Martin Hemmert, 2013. "Are Emerging Market Multinationals Milking Their Cross Border Acquisition Targets? A Study of Inbound Japanese and Korean M&As," Discussion Paper Series DP2013-06, Research Institute for Economics & Business Administration, Kobe University.
  65. Alex Frino & Stephen Satchell & Brad Wong & Hui Zheng, 2013. "How much does an Illegal Insider Trade?," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 241-263, June.
  66. Carter, Richard B. & Strader, Troy J., 2009. "The market versus the analyst: Biases and predictive ability," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 398-416, May.
  67. Chalmers, John & Liu, Yu (Steve) & Wang, Z. Jay, 2021. "The difference a day makes: Timely disclosure and trading efficiency in the muni market," Journal of Financial Economics, Elsevier, vol. 139(1), pages 313-335.
  68. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
  69. Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016. "Intraday jumps and trading volume: a nonlinear Tobit specification," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1167-1186, November.
  70. Tejas Ramdas & Martin T. Wells, 2024. "Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets," Papers 2409.05192, arXiv.org.
  71. Odders-White, Elizabeth R. & Ready, Mark J., 2008. "The probability and magnitude of information events," Journal of Financial Economics, Elsevier, vol. 87(1), pages 227-248, January.
  72. Yi‐Wei Chuang & Yu‐Fen Lin & Pei‐Shih Weng, 2019. "Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 279-301, March.
  73. Ramadorai, Tarun, 2013. "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 401-416.
  74. Lin, J. Barry & Pantzalis, Christos & Park, Jung Chul, 2007. "Corporate use of derivatives and excess value of diversification," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 889-913, March.
  75. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2011. "Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 474-487, June.
  76. Alex Frino & Stewart Jones & Andrew Lepone & Jin Boon Wong, 2014. "Market Behavior of Institutional Investors around Bankruptcy Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 270-295, January.
  77. Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
  78. Chang, Sanders S. & Chang, Lenisa V. & Wang, F. Albert, 2014. "A dynamic intraday measure of the probability of informed trading and firm-specific return variation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 80-94.
  79. Chen, Haojun & Maher, Daniela, 2013. "On the predictive role of large futures trades for S&P500 index returns: An analysis of COT data as an informative trading signal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 177-201.
  80. Wong, Woon K. & Chang, Matthew C. & Tu, Anthony H., 2009. "Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 28-40, January.
  81. Theissen, Erik, 2002. "Internalisierung und Marktqualität: Was bringt Xetra Best?," CFS Working Paper Series 2002/06, Center for Financial Studies (CFS).
  82. Valenzuela, Marcela & Zer, Ilknur, 2013. "Competition, signaling and non-walking through the book: Effects on order choice," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5421-5435.
  83. Fang, Hao & Shen, Chung-Hua & Lee, Yen-Hsien, 2017. "The dynamic and asymmetric herding behavior of US equity fund managers in the stock market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 353-369.
  84. Campbell, John Y. & Ramadorai, Tarun & Schwartz, Allie, 2009. "Caught on tape: Institutional trading, stock returns, and earnings announcements," Journal of Financial Economics, Elsevier, vol. 92(1), pages 66-91, April.
  85. McAdam, Chris, 2020. "Are investors compensated for their sophistication and informedness for company takeovers – An Australian study," Global Finance Journal, Elsevier, vol. 44(C).
  86. Doojin Ryu & Robert I. Webb & Jinyoung Yu, 2023. "Who pays the liquidity cost? Central bank announcements and adverse selection," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 904-924, July.
  87. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
  88. Franzoni, Francesco & Di Maggio, Marco & Massa, Massimo & Tubaldi, Roberto, 2019. "Strategic Trading as a Response to Short Sellers," CEPR Discussion Papers 13812, C.E.P.R. Discussion Papers.
  89. Simon de Bonviller & Alec Zuo & Sarah Ann Wheeler, 2019. "Is there evidence of insider trading in Australian water markets?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(2), pages 307-327, April.
  90. Ata Türkoğlu, 2016. "Normally distributed high-frequency returns: a subordination approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 389-409, March.
  91. Nawn, Samarpan & Banerjee, Ashok, 2019. "Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 109-125.
  92. Cai, Bill M. & Cai, Charlie X. & Keasey, Kevin, 2006. "Which trades move prices in emerging markets?: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 453-466, November.
  93. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018. "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 143-167.
  94. Min‐Hsien Chiang & Tsai‐Yin Lin & Chih‐Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 1007-1038, September.
  95. Alexis Stenfors & Masayuki Susai, 2021. "Stealth Trading in FX Markets," Working Papers in Economics & Finance 2021-02, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  96. Guanming He & Helen Mengbing Ren & Richard Taffler, 2022. "Do enhanced derivative disclosures work? An informational perspective," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 24-60, January.
  97. Hsinan Hsu & Tsung-Che Wu & Grace Shu-hsing Wu & Ya-Hui Chang, 2016. "Heterogeneity of Trading Information and the Price-Volume Relationship: Theory and Evidence," Accounting and Finance Research, Sciedu Press, vol. 5(1), pages 232-232, February.
  98. Mudalige, Priyantha & Duong, Huu Nhan & Kalev, Petko S. & Gupta, Kartick, 2020. "Who trades in competing firms around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  99. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
  100. Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2013. "Price impact of block trades in the Saudi stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 322-341.
  101. Natashekara, Karthik & Sampath, Aravind, 2024. "Informed trading and cryptocurrencies. New evidence using tick-by-tick data," Finance Research Letters, Elsevier, vol. 61(C).
  102. Guo, Jiaqi & Holmes, Phil & Altanlar, Ali, 2020. "Is herding spurious or intentional? Evidence from analyst recommendation revisions and sentiment," International Review of Financial Analysis, Elsevier, vol. 71(C).
  103. Schouten, Michael C., 2009. "The Case for Mandatory Ownership Disclosure," MPRA Paper 12800, University Library of Munich, Germany.
  104. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
  105. Alexander Kurov, 2008. "Information And Noise In Financial Markets: Evidence From The E‐Mini Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 247-270, September.
  106. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Uno, Jun & Yuferova, Darya, 2017. "Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods," SAFE Working Paper Series 144, Leibniz Institute for Financial Research SAFE, revised 2017.
  107. Giambona, Erasmo & Golec, Joseph, 2010. "Strategic trading in the wrong direction by a large institutional insider," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 1-22, January.
  108. Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001. "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers 1149, Purdue University, Department of Economics.
  109. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
  110. Hang Nguyen & Roger Calantone & Ranjani Krishnan, 2020. "Influence of Social Media Emotional Word of Mouth on Institutional Investors’ Decisions and Firm Value," Management Science, INFORMS, vol. 66(2), pages 887-910, February.
  111. Chelley-Steeley, Patricia L. & Lambertides, Neophytos, 2022. "Trading activity around chapter 11 filing," International Review of Financial Analysis, Elsevier, vol. 82(C).
  112. Lawrence Glosten & Suresh Nallareddy & Yuan Zou, 2021. "ETF Activity and Informational Efficiency of Underlying Securities," Management Science, INFORMS, vol. 67(1), pages 22-47, January.
  113. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
  114. von Beschwitz, Bastian & Chuprinin, Oleg & Massa, Massimo, 2017. "Why Do Short Sellers Like Qualitative News?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 645-675, April.
  115. Umutlu, Mehmet & Shackleton, Mark B., 2015. "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 43-70.
  116. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
  117. Min-Hsien Chiang & Tsai-Yin Lin & Chih-Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 1007-1038.
  118. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
  119. Ibikunle, Gbenga & Aquilina, Matteo & Diaz-Rainey, Ivan & Sun, Yuxin, 2021. "City goes dark: Dark trading and adverse selection in aggregate markets," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 1-22.
  120. Schultz, Paul & Shive, Sophie, 2010. "Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading," Journal of Financial Economics, Elsevier, vol. 98(3), pages 524-549, December.
  121. Caihong Xu & Dong Zhang, 2019. "Market openness and market quality in gold markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 384-401, March.
  122. Joseph Golec, 2007. "Are the Insider Trades of a Large Institutional Investor Informed?," The Financial Review, Eastern Finance Association, vol. 42(2), pages 161-190, May.
  123. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  124. Boyer, Brian & Zheng, Lu, 2009. "Investor flows and stock market returns," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 87-100, January.
  125. Blau, Benjamin M. & Van Ness, Bonnie F. & Van Ness, Robert A., 2009. "Information and trade sizes: The case of short sales," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1371-1388, November.
  126. Blau, Benjamin M. & Brough, Tyler J., 2012. "Short sales, stealth trading, and the suspension of the uptick rule," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 38-48.
  127. Joachim Grammig & Erik Theissen, 2012. "Is Best Really BETTER? Internalization of Orders in an Open Limit Order Book," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 64(2), pages 82-100, April.
  128. Dean Katselas, 2020. "Strategic insider trading around earnings announcements in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3709-3741, December.
  129. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2011. "THE CHOICE OF TRADING VENUE AND RELATIVE PRICE IMPACT OF INSTITUTIONAL TRADING: ADRs VERSUS THE UNDERLYING SECURITIES IN THEIR LOCAL MARKETS," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(4), pages 537-567, December.
  130. Chen, Hung-Ling & Chow, Edward H., 2011. "The impact of investor base on the costs of capital for IPOs," Journal of Multinational Financial Management, Elsevier, vol. 21(3), pages 177-190, July.
  131. Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
  132. Chakravarty, Sugato & Li, Kai, 2003. "A Bayesian analysis of dual trader informativeness in futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 355-371, May.
  133. Andrew Lepone & Henry Leung & J George Li, 2013. "Unequal access to analyst research," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 253-277, August.
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