STEALTH TRADING AND VOLATILITY - WHICH TRADES MOVE PRICES

We examine the proportion of a stock's cumulative price change that oc curs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evid ence is consistent with the hypothesis that informed trades are concen trated in the medium-size category, and that price movements are due m ainly to informed traders' private information.