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

Lukas Menkhoff and Maik Schmeling

Journal of Financial Markets, 2010, vol. 13, issue 1, 101-128

Abstract: 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.

Keywords: Market; microstructure; Informed; trading; Trade; size; Foreign; exchange (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (34)

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Working Paper: Whose trades convey information? Evidence from a cross-section of traders (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:13:y:2010:i:1:p:101-128

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