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Stealth Trading: The Next Generation

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  • Chakravarty, Sugato

Abstract

Using intra-day transaction data for a sample of NYSE firms, I show that medium size trades have the highest percent cumulative price change and greatest impact on transaction-by-transaction stock price changes. Even though large size trades have the highest price impact per transaction, it is the medium size trades that have the greatest price impact per unit volume. These results are consistent with the predictions of the stealth trading hypothesis (Barclay and Warner (1993)). Upon further decomposition of trades, using audit trail information, into those initiated by institutions and those initiated by individuals, I find that stealth trading is present mainly in medium size trades initiated by institutions. I also find stronger evidence of stealth trading (driven by the medium size institutional trades) in large firms, than in small firms.

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Bibliographic Info

Paper provided by Purdue University, Department of Economics in its series Purdue University Economics Working Papers with number 1128.

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Length: 46 pages
Date of creation: Feb 2000
Date of revision:
Handle: RePEc:pur:prukra:1128

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