Informed Trading and the Price Impact of Block Trades

2015 ◽  
Author(s):  
Yuxin Sun ◽  
Gbenga Ibikunle
Keyword(s):  
Informed Trading ◽  
Price Impact ◽  
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

Liquidity and Information in Limit Order Markets

2019 ◽  
Vol 55 (6) ◽  
pp. 1792-1839 ◽  
Author(s):  
Ioanid Roşu
Keyword(s):  
Dynamic Model ◽  
Informed Trading ◽  
Price Impact ◽  
Limit Order ◽  
Limit Order Markets ◽  
Bid Ask Spread ◽  
Limit Orders ◽  
Informed Traders ◽  
Market Orders

How does informed trading affect liquidity in limit order markets, where traders can choose between market orders (demanding liquidity) and limit orders (providing liquidity)? In a dynamic model, informed trading overall helps liquidity: A higher share of informed traders i) improves liquidity as proxied by the bid–ask spread and market resiliency, and ii) has no effect on the price impact of orders. The model generates other testable implications, and suggests new measures of informed trading.

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
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