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Which Trades Move Asset Prices? An Analysis of Futures Trading Data

Jangkoo Kang and Doojin Ryu

Emerging Markets Finance and Trade, 2010, vol. 46, issue 0, 7-22

Abstract: This article examines the information content of trade size and investor performance in a unified framework, using the price contribution (PC) measure proposed by Barclay and Warner (1993). Several interesting results obtained through the analysis of a unique dataset of KOSPI200 futures are presented herein, as follows: (1) evidence is presented against the "stealth trading hypothesis," and it is claimed that medium-size trades are not more informative than trades of other sizes; (2) foreign institutions have an advantage over domestic investors in terms of information, and their investment performance is the best among all investor types; (3) domestic individuals cannot be considered homogeneous investors; and (4) although the PC of the trades by domestic institutions is relatively small on average, the domestic institutional investors outperform other investors at around the futures' maturity dates.

Keywords: investment performance; investor type; KOSPI200 futures; price contribution; trade size (search for similar items in EconPapers)
Date: 2010
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