TY - JOUR T1 - The Relative Degree of Trade Fragmentation in an Automated, Transparent Stock Exchange JF - Trading SP - 85 LP - 101 VL - 2011 IS - 1 AU - Sugato Chakravarty AU - Petko S. Kalev AU - Linh T. Pham Y1 - 2011/03/20 UR - http://guides.pm-research.com/content/2011/1/85.abstract N2 - The authors consider the strategic trade fragmentation by informed traders in an automated and transparent equity trading environment. Employing unique transactional data for a sample of stocks traded on the Australian Stock Exchange, they find significant evidence of trade fragmentation involving medium- and small-size trades. They also show that informed investors trade differently depending on the availability of liquidity. When liquidity is available, informed investors tend to trade in larger trade sizes. On the other hand, when there is little available liquidity, informed investors fragment their trades into smaller size units in order to camouflage their transactions. ER -