Information Environments and High Price Impact Trades : Implication for Volatility and Price Efficiency

We include trade matchedness to Limit Order Book (LOB) as an extended identification dimension of High Price Impact Trades (HPITs). HPITs are trades associated with disproportionately large price changes in comparison with their volume proportion and are related to informed trades. We show that the introduction of matchedness provides finer informed trading identification, and we find that a stronger presence of HPITs leads to a decline in volatility due to more contrarian informed trades, but this decline varies with information environments. Finally, we conclude that HPITs mainly reflect belief-based (fundamental-based) information in a high (low) public disclosure environment