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Trade Size Preference of Informed Traders in Indian Equity Markets

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  • Kidambi Sridharan Sriram
  • Arun Kumar Gopalaswamy

Abstract

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.

Suggested Citation

  • Kidambi Sridharan Sriram & Arun Kumar Gopalaswamy, 2018. "Trade Size Preference of Informed Traders in Indian Equity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(9), pages 2153-2168, July.
  • Handle: RePEc:mes:emfitr:v:54:y:2018:i:9:p:2153-2168
    DOI: 10.1080/1540496X.2017.1392851
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