Clustering of intraday order-sizes by uninformed versus informed traders

Ryan Garvey and Fei Wu

Journal of Banking & Finance, 2014, vol. 41, issue C, 222-235

Abstract: We examine quantity choice patterns by equity traders across trading hours in the U.S. Controlling for intraday variations in trading activity, we find that traders submit more non-rounded order sizes and more order sizes overall leading up to a day’s market close. Traders who submit more distinct order sizes pay a higher cost to trade, and they are also less informed about future prices. Our results suggest that the goal to satisfy specific quantity demands rises across the day. This differs from total trading demand, which resembles a U-shape pattern intraday, but is consistent with less trade-size clustering at the ends of fiscal quarters.

Keywords: Trading; Liquidity; Order size choice; Equities (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:41:y:2014:i:c:p:222-235

DOI: 10.1016/j.jbankfin.2014.01.026

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