Order Delivery Strategy of Informed Investors and the Enforcement of Governmental Supervision
利用高频日内数据研究中国A股市场知情交易者的订单执行策略，发现他们偏好大额交易，尤其在机构重仓的大盘股上，且政府监管未能改变这一行为。
Price discovery is one of the fundamental roles of stock market.Informed traders help promote price discovery with certain strategies.We investigate the order delivery strategy of informed traders in A-share market with high-frequency intraday data.We find;(1) Unlike what stealth hypothesis predicts,informed traders in China's stock markets tend to trade on their private information with large-size trades;(2) Informed traders are especially motivated to trade with large-size trades on stocks of large firms that are heavily held by institutional investors.We think that informed traders may collect the raw or produced accounting information of these firms before the others do.When law enforcement is weak,they are more likely to competitively trade on private information with large-size trades to maximize their profits;(3) By comparing year 2005 with year 2009,we find that governmental supervision over insider trading did not change inform investors' trading on inside information with large-size trades.