scholarly journals Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

2000 ◽  
Author(s):  
Gideon Saar
Keyword(s):  
Price Impact ◽  
Institutional Trading ◽  
Block Trades

The determinants of the price impact of block trades: further evidence

Abacus ◽  
2007 ◽  
Vol 43 (1) ◽  
pp. 94-106 ◽  
Author(s):  
Alex Frino ◽  
Elvis Jarnecic ◽  
Andrew Lepone
Keyword(s):  
Price Impact ◽  
Block Trades

scholarly journals The Information Content of Institutional Trades on the London Stock Exchange

2005 ◽  
Vol 40 (3) ◽  
pp. 621-644 ◽  
Author(s):  
Aslihan Bozcuk ◽  
M. Ameziane Lasfer
Keyword(s):  
Information Content ◽  
Stock Exchange ◽  
Price Impact ◽  
London Stock Exchange ◽  
Data Set ◽  
Fund Managers ◽  
Unique Data ◽  
Block Trades ◽  
Price Impacts ◽  
Limited Support

AbstractWe construct a unique data set that includes all reported institutional block trades on the London Stock Exchange and analyze the market reaction to buy and sell trades. We find that the type of investors behind the trade and the combination of the trade's size and the trader's resulting level of ownership are the major determinants of the information effects and the asymmetry between price impacts of buy and sell trades. In particular, large trades undertaken by fund managers, the most active investors in our sample, have strong information content, while, for the remaining trades, we report limited support for the information and the price impact asymmetry hypotheses. These results hold even after accounting for trade complexity and volatility effects in the regressions.

scholarly journals Price impact of block trades in the Saudi stock market

2013 ◽  
Vol 23 ◽  
pp. 322-341 ◽  
Author(s):  
Ahmed A. Alzahrani ◽  
Andros Gregoriou ◽  
Robert Hudson
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Block Trades

International Evidence on Institutional Trading Behavior and Price Impact

2004 ◽  
Vol 59 (2) ◽  
pp. 869-898 ◽  
Author(s):  
Chiraphol N. Chiyachantana ◽  
Pankaj K. Jain ◽  
Christine Jiang ◽  
Robert A. Wood
Keyword(s):  
Price Impact ◽  
Trading Behavior ◽  
Institutional Trading ◽  
International Evidence
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