This paper considers informed traders' trading strategy in a bear market. Known as stealth trading, informed traders use medium-size trades, which tend to contain more information than small and large trades, and have stronger impact on stock price movement. Using the transaction data provided...

In recent years, the measurement and analysis of comovement have become important subjects with theoretical and practical value. The contagion effects specified in this paper include spillover effects under information transfer and coherent movement under common external influences. We propose...