Which trade sizes move prices on the Singapore Stock Exchange?

• Main Authors: Liu, Jia, Foo, Yi Kim, Oh, Eline Hwee Yin
• Other Authors: Charoenwong, Charlie
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/9783
• Institution: Nanyang Technological University

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...