An analysis of split orders in an index options market
Year: 2010
Type: article
Abstract: This study presents the empirical evidence of Kyle (1985 Kyle, A. S. 1985. Continuous auctions and insider trading. Econometrica, 53: 1315–35. [Crossref], [Web of Science ®] , [Google Scholar]) that informed traders spread their orders over time to camouflage their information. Our proprietary data, which contain account numbers in the Korean options market, identify whether traders break up his or her order (split orders) or not. We show that split orders are associated with a larger proportion of cumulative price change than nonsplit orders are. Furthermore, nonsplit orders, even small- or medium-size ones, cause much smaller cumulative price changes. These results improve upon the tests of Barclay and Warner (1993 Barclay, M. J. and Warner, J. B. 1993. Stealth and volatility: which trades move prices?. Journal of Financial Economics, 34: 281–306. [Crossref], [Web of Science ®] , [Google Scholar]).
Source: Applied Economics Letters
Authors: Joon Chae, Eun Jung Lee
Institutions: Seoul National University, Hanyang University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2017647168