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The price impact of trade-size clustering: Evidence from an intraday analysis

Tao Chen ()

Journal of Business Research, 2019, vol. 101, issue C, 300-314

Abstract: Motivated by the prevalence of trade-size clustering in financial markets, this study examines whether this trading irregularity affects intraday price dynamics. Based on a global sample, we document that stronger trade-size clustering is associated with lower temporary price impact, consistent with the stealth trading hypothesis. Meanwhile, a positive interaction between clustering and permanent price changes further confirms that clustering trades convey information, suggesting that they originate from informed investors. After partitioning sizes into top, round, and non-round groups, we find that all are informative, despite the finding that top and round (non-round) sizes have more (less) clustering.

Keywords: Trade size; Clustering; Price impact; Non-round size (search for similar items in EconPapers)
JEL-codes: G14 G15 G41 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:101:y:2019:i:c:p:300-314

DOI: 10.1016/j.jbusres.2019.04.032

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