Which trade sizes move prices on the Singapore Stock Exchange?

• المؤلفون الرئيسيون: Liu, Jia, Foo, Yi Kim, Oh, Eline Hwee Yin
• مؤلفون آخرون: Charoenwong, Charlie
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Stock exchanges
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/9783

Using transactions data of all constituent stocks of the Straits Times Index (STI) spanning January 2001 to November 2007, this study examines how trades of different sizes contribute to the intra-day cumulative price changes, and the trade size choices of informed traders in an automated, non-marke...