Stealth trading on South African equities market
Date
2019
Authors
Arumero, Ashley
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
The research examines if there are traders on the Johannesburg Stock Exchange (JSE) with information advantage. By employing high frequency data from 53 securities, the findings show that agents engage in small size trades to camouflage their information advantage. The inverted U-shaped plot was obtained from the dynamic probability of small trades model, which is consistent with the literature. The findings show that stealth trading is more frequent during the middle of the day on the JSE than any other time of the day. About 38% of traders were trading from an information advantage during the period of analysis. This implies that the remaining 62% of the traders engage in uninformed trades
Description
Master of Management in Finance and Investments
Keywords
Citation
Arumero, Ashley (2019) Stealth trading on South African equities market, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/28356>