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An analysis of split orders in an index options market

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  • Joon Chae
  • Eun Jung Lee
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    Abstract

    This study presents the empirical evidence of Kyle (1985) that informed traders spread their orders over time to camouflage their information. Our proprietary data, which contain account numbers in the Korean options market, identify whether traders break up his or her order (split orders) or not. We show that split orders are associated with a larger proportion of cumulative price change than nonsplit orders are. Furthermore, nonsplit orders, even small- or medium-size ones, cause much smaller cumulative price changes. These results improve upon the tests of Barclay and Warner (1993).

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 18 (2011)
    Issue (Month): 5 ()
    Pages: 473-477

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    Handle: RePEc:taf:apeclt:v:18:y:2011:i:5:p:473-477

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