Analysis of trade packages in Chinese stock market
AbstractThis paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of trades and the total trading volume of trade packages, and analyze the possible scaling relations between them. Quantitative differences are observed between the institutional and individual investors. The trading profile of trade packages is investigated to reveal the preference of large trades on trading volumes and transaction time of the day, and the different profiles of two types of investors imply that institutions may be more informed than individuals. We further analyze the price impacts of both the entire trade packages and the individual transactions inside trade packages. We find the price impact of trade packages is nonnegligible over the period of the execution time and it may have a power-law relation with the total trading volume. The price impact of the transactions inside trade packages displays a U-shaped profile with respect to the time $t$ of the day, and also shows a power-law dependence on their trading volumes. The trading volumes of the transactions inside trade packages made by institutions have a stronger impact on current returns, but the following price reversals persist over a relatively shorter horizon in comparison with those by individuals.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.1526.
Date of creation: Mar 2011
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Publication status: Published in Quantitative Finance 13 (7), 1071-1089 (2013)
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
- NEP-FMK-2011-03-19 (Financial Markets)
- NEP-MST-2011-03-19 (Market Microstructure)
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- Naes, Randi & Skjeltorp, Johannes A., 2006. "Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market," Journal of Financial Markets, Elsevier, vol. 9(4), pages 408-432, November.
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