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Whose trades convey information? Evidence from a cross-section of traders

Listed author(s):
  • Menkhoff, Lukas
  • Schmeling, Maik

This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders' trades which--simultaneously--use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin.

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File URL: http://www.sciencedirect.com/science/article/pii/S1386-4181(09)00046-9
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 13 (2010)
Issue (Month): 1 (February)
Pages: 101-128

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Handle: RePEc:eee:finmar:v:13:y:2010:i:1:p:101-128
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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