Research on Information-Driven Trades in China

Juan Tao, Dongqi Sun, Yingying Wu

OAI: oai:igi-global.com:299326 • DOI: 10.4018/JGIM.299326

The authors examine the information-driven trades and informed traders' order size strategies in China's stock market. They find the aggregate U-shaped informed trading is not only explained by the time-of-day effect but is also related to the order size strategy, which is shown by intraday variations in the composition of small, medium, and large trades. The evidence of information predictability from early morning to market close and from late afternoon to the next day provides additional insights into the intraday informed trading pattern. They identify the non-negligible price impact (PI) of large trades and propose a modified model, VDPIN-PI, which better captures the trades with information advantage compared to the baseline model.

Global Information Technology Computer Science and Information Technology IT Research and Theory