Size and information revelation in securities trading

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.

KEYWORDS:

• Trading
• information
• order size
• trade size

JEL CLASSIFICATION:

• G10
• G14

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This work was supported by the China Postdoctoral Science Foundation; National Natural Science Foundation of China [grant numbers 71072083, 71562016, 71572108]; Department of Education of Jiangxi Province [grant number GJJ150471]; and XJTLU RDF.