Which Trades Move Asset Prices? An Analysis of Futures Trading Data

Abstract

This article examines the information content of trade size and investor performance in a unified framework, using the price contribution (PC) measure proposed by Barclay and Warner (1993). Several interesting results obtained through the analysis of a unique dataset of KOSPI200 futures are presented herein, as follows: (1) evidence is presented against the "stealth trading hypothesis," and it is claimed that medium-size trades are not more informative than trades of other sizes; (2) foreign institutions have an advantage over domestic investors in terms of information, and their investment performance is the best among all investor types; (3) domestic individuals cannot be considered homogeneous investors; and (4) although the PC of the trades by domestic institutions is relatively small on average, the domestic institutional investors outperform other investors at around the futures' maturity dates.