What kind of trades do informed traders trade

Abstract

This paper examines informed investors’ trading behaviors, such as choices on trade sizes and market thickness, and their identity in TORQ database. First, consistent with the stealth trading hypothesis, the results confirm the significance of medium-size trades in bringing about the abnormal price increases. Second, the results show that informed traders are most likely to concentrate their trades in the medium-size coupled with moderate-market category. Finally, medium-size trades, occurring in moderate thick periods, initiated by institutions gain the largest positive abnormal price increases. This result suggests that institutions are informed traders.