Stealth Trading: Which Traders' Trades Move Stock Prices?

Posted: 13 Nov 2001


Using audit trail data for a sample of NYSE firms, we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of the stealth-trading hypothesis (Barclay and Warner (1993)). We find that the source of this disproportionately large cumulative price impact of medium size trades is trades initiated by institutions. This result appears robust to various sensitivity checks. Our findings appear to confirm street lore that institutions are informed traders.

JEL Classification: G12, G14, D82

Suggested Citation

Chakravarty, Sugato, Stealth Trading: Which Traders' Trades Move Stock Prices?. Journal of Financial Economics, Vol. 61, pp. 289-307, September 2001. Available at SSRN:

Sugato Chakravarty (Contact Author)

Purdue University ( email )

Consumer Sciences
1262 Matthews Hall Rm 214F
West Lafayette, IN 47906
United States
765-494-6427 (Phone)
765-494-0869 (Fax)


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