Stealth trading: The case of the Tokyo Stock Exchange

Ascioglu, Asli; Comerton‐Forde, Carole; McInish, Thomas H.

doi:10.1016/j.pacfin.2010.10.001

Cited by 32 publications

(25 citation statements)

References 13 publications

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“…Large trades make almost no contribution to price discovery. Our results are similar to those of Ascioglu et al (2011) for the Tokyo Stock Exchange and Pham et al (2005) for the Australian Stock Exchange and show that in today's computer-dominated trading environment, traders can easily break up their trades and hide with the smallest traders.…”

Section: Introductionsupporting

confidence: 90%

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Price movement and trade size on the National Stock Exchange of India

2015

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Using data for the National Stock Exchange of India, we examine three hypotheses about which trades move prices. The Stealth Trading Hypothesis proposes that cumulative price changes (CPCs) are concentrated in particular trade sizes due to the strategic trading of informed traders. We find that depending on market conditions, from 60% to 80% of the CPC is concentrated in small trade sizes, with almost all of the remaining price change concentrated in medium trade sizes. These results support the Stealth Trading Hypothesis.

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Section: Introductionsupporting

confidence: 90%

“…Our work extends the analysis of Barclay and Warner (1993), Chakravarty (2001) and Ascioglu et al (2011) by examining these hypotheses in an emerging market. Further, we investigate these hypotheses for periods with rising and falling markets.…”

Section: Discussionmentioning

confidence: 71%

Price movement and trade size on the National Stock Exchange of India

2015

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“…Accordingly, Ascioglu et al (2011) used a triple measure to determine the impact of earnings management on stock market liquidity. The first measure consists of accounting data while the other two relate to real earnings management, which included operating cash flow and discretionary costs.…”

Section: Research Hypothesesmentioning

confidence: 99%

Earnings Management, Accruals and Stock Liquidity

Sayari¹,

Omri²

2017

JFBM

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Accounting indicators published by firms remain a privileged source of information for the financial market. However, the margin of freedom granted by accounting rules allows managers to manipulate financial statements for discretionary ends, in order to mislead stakeholders on the firm's economic conditions. Our study aims at examining the Tunisian context and tries to determine the effect of earnings management on stocks liquidity. The relationship between liquidity and accruals was examined, using the modified earnings management measurement model of Jones (1995). Our sample consists of 299 observations of Tunisian companies listed on the stock exchange during the 2000-2012period. Using a panel data qualitative approach, the obtained results point to a positive relationship between discretionary accruals and Tunisian firms' stocks (as estimated by the two measurement models). This indicates that discretionary accruals allow Tunisian investors to optimally construct their stocks portfolios. The results also highlighted a negative and a significant impact of transaction size and volume on firms'ask-bid spread.

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“…Cai, Cai, and Keasey (2006) find stealth trading in the Chinese stock market. Ascioglu et al (2011) show that small-size trades in the Tokyo Stock Exchange rule price formation except in high volatility days. Kalev and Pham (2009) find that in the Australian Stock Exchange stealth trading happens when liquidity is low.…”

Section: The Datasetmentioning

confidence: 90%

“…(1) is defined either as the difference in prices (e.g., BW93) or as the log return (e.g., Chakravarty et al, 2005), and the length of t varies from several months (e.g., Ascioglu, Comerton-Forde, & McInish, 2011) to a few hours (e.g., Blau, Van Ness, & Van Ness, 2009a). Some studies choose stocks with Δp t s N 0 (e.g., Chakravarty, 2001), while some others ignore the sign of Δp t s (e.g., O'Hara et al, 2014).…”

Section: The Wpc Approachmentioning

confidence: 99%

The friction-free weighted price contribution

Abad

Pascual

2015

International Review of Economics & Finance

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We introduce a methodology to obtain friction-free estimates of Barclay and Warner's (1993) Weighted Price Contribution (WPC). With this new approach, we verify recent simulation results suggesting that trading frictions may severely bias the WPC approach. We use high frequency data from a European electronic order-driven market to show that frictions generate a sizable downward bias in the WPC of non-aggressive small-size trades. The bias increases in periods of significant price discovery, and is due to both bid-ask bounce and serial correlation in the quotemidpoint changes. We show that our results extend to the US case.

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Stealth trading: The case of the Tokyo Stock Exchange

Cited by 32 publications

References 13 publications

Price movement and trade size on the National Stock Exchange of India

Price movement and trade size on the National Stock Exchange of India

Earnings Management, Accruals and Stock Liquidity

The friction-free weighted price contribution

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