Ascioglu, Asli; Comerton-Forde, Carole; McInish, Thomas H. - In: Pacific-Basin Finance Journal 19 (2011) 2, pp. 194-207
The stealth trading hypothesis asserts that informed traders trade strategically by breaking up their orders so as to more easily hide among the liquidity traders. Using data for the Tokyo Stock Exchange (TSE), a pure order-driven market, we find evidence that price changes are driven by small-...