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Liu Shancun, Lin Deqiong, Song Yutao. An Empirical Study on the Stealth Trading in Shanghai A Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2014, 27(1): 68-75.
Citation: Liu Shancun, Lin Deqiong, Song Yutao. An Empirical Study on the Stealth Trading in Shanghai A Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2014, 27(1): 68-75.
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An Empirical Study on the Stealth Trading in Shanghai A Stock Market

  • 1.

    School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China


  • 2. Yingda Changan Risk Management Consulting CO.LTD., Beijing 100052, China

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  • Received Date: December 23, 2012
  • Published Date: January 24, 2014
    Graphical Abstract
    • Abstract
  • Taking the high frequency trading data of Shanghai Stock Exchange A stock market as samples, this paper confirms that there also exists a phenomenon of stealth trading in pure order-driven market, and verifies the stealth trading behavior of investors' in Chinese stock market. Different from the New York Stock Exchange where informed traders usually concentrate on medium-sized trading in order to hide their insider status, informed traders in Chinese stock market are more likely to submit small-sized orders on a bullish market, and large-sized orders on a bearish market, which shows that different structures of trading mechanism and external market environment have different influence on the order submission strategy of informed traders.
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    • References (19)
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