What Kind Of Volumes Move Stock Price?:

Using publicly announced trading information, we examine the proportion of a stock’s cumulative price change that occurs in each volume-size category. This result is consistent with the small-trading hypothesis and block trading hypothesis, which means that small and block trades greatly influence stock price.We also find that the relationship between cumulative price change and trading size was different around different events and periods. When a stock experienced sharp rise or fall, the institutional investors led price changes during30days before the announcement and individual investors led price changes after. In these two types of events, the informed traders have an accurate idea about the price reaction after the announcement of news. If there is good news, they will buy a large number of stocks earlier and sell to individual investors when the news is publicly announced. If there is bad news, they will escape from the stock by selling stocks to individual investors before the announcement of news. Institutional investors earn a profit from individual investors with the information asymmetry.This result is robust to the whole stock market and more complex classifications. We furtherly analyze the results of different classifications and segmentations. In the event that stocks experienced a significant rise, block trades greatly influence stock price before the list of news. While small trades greatly influence stock price after the news. The institutional investors are informed traders and they earn excess returns from other investors.