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Do small traders contribute to price discovery?: evidence from the Hong Kong Hang Seng Index markets

Authors :
Libin Tao
Song, Frank M.
Source :
Journal of Futures Markets. Feb, 2010, Vol. 30 Issue 2, p156, 19 p.
Publication Year :
2010

Abstract

The one-contract-size trades of the Hong Kong Hang Seng Index markets are analyzed to determine the contributions of the small traders in the price discovery of the stocks. Despite low trading volume, these small traders are shown to significantly contribute to the information sharing process, hence playing a uniformed and important role in these markets.

Details

Language :
English
ISSN :
02707314
Volume :
30
Issue :
2
Database :
Gale General OneFile
Journal :
Journal of Futures Markets
Publication Type :
Periodical
Accession number :
edsgcl.217211347