Which trade sizes move prices on the Singapore Stock Exchange?
Foo, Yi Kim
Oh, Eline Hwee Yin
Date of Issue2008
College of Business (Nanyang Business School)
Using transactions data of all constituent stocks of the Straits Times Index (STI) spanning January 2001 to November 2007, this study examines how trades of different sizes contribute to the intra-day cumulative price changes, and the trade size choices of informed traders in an automated, non-market maker, order-driven market.
Final Year Project (FYP)
Nanyang Technological University