Ligon, James A.; Liu, Hao-Chen - In: Pacific-Basin Finance Journal 21 (2013) 1, pp. 1024-1045
Using actual transaction data from the Taiwanese foreign exchange traditional brokered market, we show that the stealth-trading hypothesis does not hold in this market. Large-size trades contribute the most to price change. Examining the role of depth and late day trades, we conclude that this...