Bid-ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange

2003 ◽  
Author(s):  
Alex Frino ◽  
Andrew Lepone ◽  
Elvis Jarnecic
Keyword(s):  
Stock Exchange ◽  
Block Trades

scholarly journals Information transmission around block trades on the Spanish stock exchange

2005 ◽  
Vol 15 (3) ◽  
pp. 173-186 ◽  
Author(s):  
M. A. Martínez * ◽  
M. Tapia ◽  
J. Yzaguirre
Keyword(s):  
Information Transmission ◽  
Stock Exchange ◽  
Block Trades ◽  
Spanish Stock Exchange

What Drives Shareholder Reaction and Wealth Effect in Block Trades? Evidence from the Warsaw Stock Exchange

2018 ◽  
Vol 54 (7) ◽  
pp. 1586-1607 ◽  
Author(s):  
Katarzyna Byrka-Kita ◽  
Mateusz Czerwiński ◽  
Agnieszka Preś-Perepeczo
Keyword(s):  
Stock Exchange ◽  
Wealth Effect ◽  
Block Trades ◽  
Warsaw Stock Exchange

The intra-day impact of block trades on the Australian stock exchange

1994 ◽  
Vol 11 (2) ◽  
pp. 237-253 ◽  
Author(s):  
Michael Aitken ◽  
Alex Frino ◽  
Stuart Sayers
Keyword(s):  
Stock Exchange ◽  
Block Trades

Pricing and information content of block trades on the Shanghai Stock Exchange

2012 ◽  
Vol 20 (3) ◽  
pp. 378-397 ◽  
Author(s):  
Longzhen Fan ◽  
Bill Hu ◽  
Christine Jiang
Keyword(s):  
Information Content ◽  
Stock Exchange ◽  
Block Trades

Bid–ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

2005 ◽  
Vol 13 (3) ◽  
pp. 247-262 ◽  
Author(s):  
Alex Frino ◽  
Elvis Jarnecic ◽  
David Johnstone ◽  
Andrew Lepone
Keyword(s):  
Stock Exchange ◽  
Price Behavior ◽  
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.

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