scholarly journals Can Market Frictions Really Explain the Price Impact Asymmetry of Block Trades? Evidence from the Saudi Stock Market

2009 ◽  
Author(s):  
Ahmed A. Alzahrani ◽  
Andros Gregoriou
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Market Frictions ◽  
Block Trades

scholarly journals Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market

2012 ◽  
Vol 13 (2) ◽  
pp. 202-209 ◽  
Author(s):  
Ahmed A. Alzahrani ◽  
Andros Gregoriou ◽  
Robert Hudson
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Market Frictions ◽  
Block Trades

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

scholarly journals Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea

2019 ◽  
Vol 11 (17) ◽  
pp. 4797
Author(s):  
Jungmu Kim ◽  
Yuen Jung Park
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Sample Period ◽  
Initial Amount ◽  
Net Profit ◽  
Factor Investing ◽  
Korean Stock Market ◽  
Maximal Profit ◽  
Investment Portfolios ◽  
Fund Size

This study investigates whether the profitability of various factor investments is sustainable after costs due to price impact, and estimates the capacity of strategies in the Korean stock market. With various initial amounts invested as of the end of December 2000, we analyze after-cost-returns on factor investing during the period from January 2000 to December 2017, and estimate the break-even fund size and maximal profit fund size. To this end, whenever rebalancing factor-investment portfolios based on trading rules, the number of shares of stocks to be bought and sold is computed and the price impact costs of the transactions are taken into account. This procedure computes the implicit cost of trading of factor investing to produce after-cost-returns for various initial amount invested. While the momentum and value factors perform well before price impact costs, the profitability factor performs better after price impact costs. More specifically, the break-even fund size is estimated to be 1.4 trillion Korean won (KRW), and the maximal profit generating fund size is estimated to be 750 billion KRW which could attain a monthly net profit of 1.9 billion KRW over the sample period.

The price impact of options and futures volume in after-hours stock market trading

2013 ◽  
Vol 21 (1) ◽  
pp. 984-1007 ◽  
Author(s):  
Chuang-Chang Chang ◽  
Pei-Fang Hsieh ◽  
Hung-Neng Lai
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
After Hours ◽  
Stock Market Trading

Corporate Governance and Liquidity

2010 ◽  
Vol 45 (2) ◽  
pp. 265-291 ◽  
Author(s):  
Kee H. Chung ◽  
John Elder ◽  
Jang-Chul Kim
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Alternative Model ◽  
Empirical Relation ◽  
Price Impact ◽  
Market Liquidity ◽  
Lower Probability ◽  
Market Quality ◽  
Stock Market Liquidity ◽  
Liquidity Measures

AbstractWe investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have narrower spreads, higher market quality index, smaller price impact of trades, and lower probability of information-based trading. In addition, we show that changes in our liquidity measures are significantly related to changes in the governance index over time. These results suggest that firms may alleviate information-based trading and improve stock market liquidity by adopting corporate governance standards that mitigate informational asymmetries. Our results are remarkably robust to alternative model specifications, across exchanges, and to different measures of liquidity.

The price impact of foreign institutional herding on large-size stocks in the Taiwan stock market

2011 ◽  
Vol 39 (2) ◽  
pp. 189-208 ◽  
Author(s):  
Yang-Cheng Lu ◽  
Hao Fang ◽  
Chien-Chung Nieh
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Large Size ◽  
Institutional Herding

Price Impact of Block Trades: New Evidence from Downstairs Trading on the World's Largest Carbon Futures Exchange

2011 ◽  
Author(s):  
Gbenga Ibikunle ◽  
Andros Gregoriou ◽  
Naresh Pandit
Keyword(s):  
Price Impact ◽  
Block Trades ◽  
New Evidence

scholarly journals The price impact asymmetry of institutional trading in the Chinese stock market

2012 ◽  
Vol 391 (8) ◽  
pp. 2667-2677 ◽  
Author(s):  
Fei Ren ◽  
Li-Xin Zhong
Keyword(s):  
Stock Market ◽  
Price Impact ◽  
Chinese Stock Market ◽  
Institutional Trading

International Diversification with Large- and Small-Cap Stocks

2008 ◽  
Vol 43 (2) ◽  
pp. 489-524 ◽  
Author(s):  
Cheol S. Eun ◽  
Wei Huang ◽  
Sandy Lai
Keyword(s):  
Stock Market ◽  
International Diversification ◽  
Portfolio Diversification ◽  
Market Frictions ◽  
Small Companies ◽  
Fund Allocation ◽  
International Portfolio Diversification ◽  
International Portfolio ◽  
Out Of Sample

AbstractTo the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to comove, mitigating the benefits from international diversification. In contrast, stocks of locally oriented, small companies do not exhibit the same tendency. In this paper, we assess the potential of small-cap stocks as a vehicle for international portfolio diversification during the period 1980–1999. We show that the extra gains from the augmented diversification with small-cap funds are statistically significant for both in-sample and out-of-sample periods and remain robust to the consideration of market frictions.

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
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