Dufour and Engle J. Finance find evidence of increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli J. Financial Markets for the infrequently traded stocks. This article investigates the issue of informed trading and its relation to liquidity in Shanghai Stock Exchange.

Consistent with the hypothesis that information-based trade exists for all stocks, our findings suggest an increased presence of informed trading in both liquid and illiquid stocks when markets are active.

Moreover, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan Rev. Financial Studies that activities of informed traders deter uninformed investors from trading, thereby reducing market liquidity.

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Bibliographic Info Article provided by Elsevier in its journal International Review of Financial Analysis. Informed trading Liquidity Duration Volume Volatility ; References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: On the compensation for illiquidity in stock returns ," Journal of Financial EconomicsElsevier, vol.

Which traders' trades move stock prices?

informed trading and liquidity in the shanghai stock exchange

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Choice of market versus limit orders by informed and uninformed traders ," Journal of Financial MarketsElsevier, vol. Evidence from the Stock Exchange of Thailand ," International Review of Financial AnalysisElsevier, vol.

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The Polish case ," International Review of Financial AnalysisElsevier, vol. Admati, Paul Pfleiderer, Volume and Price Variability ," Review of Financial StudiesSociety for Financial Studies, vol.

Andersen, Torben G, An Information Flow Interpretation of Stock market super bowl prediction Volatility ," Journal of FinanceAmerican Finance Association, vol. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item.

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Log in now much improved! Informed trading and liquidity in the Shanghai Stock Exchange. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Tan, Dijun Tian, Yixiang. Article provided by Elsevier in its journal International Review of Financial Analysis. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window.

Informed trading Liquidity Duration Volume Volatility. References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

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