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

Lukas Menkhoff and Maik Schmeling

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in an 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 who-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)
JEL-codes: D82 F31 G12 G15 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2007-02
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Whose trades convey information? Evidence from a cross-section of traders (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-357

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