Trade Volume Choice and Price Discovery : Evidence from Deutsche Börse

Using a comprehensive sample of stocks traded in Xetra system in German Stock Exchange, we first investigate the choice of trade volume by analyzing the trade size clustering and LOB-matched trades. Furthermore, we examine the role of these specific types of trade in the price discovery process. Our results confirm the stealth trading hypothesis and suggest that informed traders are likely to use the small-unrounded and small-matched market orders. In addition, the effects of other types of trades are either less informative or not significant