Stealth-trading Hypothesis Research：Evidence from TaiwanFutures Market

• Main Authors: Zhong-Rong Liu, 劉忠融
• Other Authors: Ruei-Lin Lee
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/48637749798809926362

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 99 === This study investigates the relationship between daily trade size for trader types and returns in Taiwan futures markets. Our unique intraday dataset identifies domestic institutional investors, individuals, futures dealers, foreign institutional investors, and securities dealer, respectively and the direction of buy and sell orders. Each trade is classified into two, three, four, five, and more than five contracts trade-size categories. Our sample period is for the period from January 1, 1999 to December 31, 2007. According to the stealth trading hypothesis proposed by Barclay and Warner (1993), domestic institutional investors and individuals will choose three or four contracts trade-sizes to make trades, while domestic institutional investors and individuals will choose more than five contracts trade-sizes to make trades. On the other hand, it is very surprised that stealth trading activities for individuals are the same as one for domestic institutions, suggesting the clustering effect for some individuals.