An Empirical Study on the Stealth Trading in Shanghai A Stock Market

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.