Size and information revelation in securities trading

Ryan GarveyPalumbo-Donahue School of Business, Department of Finance and Economics, Duquesne University, Pittsburgh, PA, USACorrespondence[email protected]
View further author information

Tao HuangInternational Business School Suzhou, Xi’an Jiangtong-Liverpool University, Suzhou, China;Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, ChinaView further author information

Fei WuShanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, ChinaView further author information

References

Alexander, G. J., and M. A. Peterson. 2007. “An Analysis of Trade-Size Clustering and Its Relation to Stealth Trading.” Journal of Financial Economics 84: 435–471. doi:10.1016/j.jfineco.2006.02.005.
Web of Science ®Google Scholar
Barclay, M. J., and J. Warner. 1993. “Stealth Trading and Volatility: Which Trades Move Prices?” Journal of Financial Economics 34: 281–305. doi:10.1016/0304-405X(93)90029-B.
Web of Science ®Google Scholar
Chakravarty, S. 2001. “Stealth Trading: Which Traders’ Trades Move Stock Prices?” Journal of Financial Economics 61: 289–307. doi:10.1016/S0304-405X(01)00063-0.
Web of Science ®Google Scholar
Choe, H., and O. Hansch, 2005. Which Trades Move Stock Prices in the Internet Age? Working paper, Pennsylvania State University and Seoul National University.
Google Scholar
Kyle, A. 1985. “Continuous Auctions And Insider Trading.” Econometrica 53: 1315-1335. doi: 10.2307/1913210.
Web of Science ®Google Scholar
O’Hara, M., C. Yao, and M. Ye. 2014. “What’s Not There: Odd Lots and Market Data.” Journal of Finance 69: 2199–2236. doi:10.1111/jofi.12185.
Web of Science ®Google Scholar
Petersen, M. 2009. “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches.” Review of Financial Studies 22: 435–480. doi:10.1093/rfs/hhn053.
Web of Science ®Google Scholar

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Size and information revelation in securities trading

References

Information for

Open access

Opportunities

Help and information

Your download is now in progress and you may close this window

Login or register to access this feature

Size and information revelation in securities trading

References

Reprints and Corporate Permissions

Academic Permissions

Related research

To cite this article:

Download citation

Information for

Open access

Opportunities

Help and information

Keep up to date