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

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 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 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 Macroeconomic Fluctuations in Home Countries and Immigrants’ Well-Being: New Evidence from Down Under

2018 ◽  
Vol 54 (1) ◽  
pp. 205-232 ◽  
Author(s):  
Ha Trong Nguyen ◽  
Alan S. Duncan
Keyword(s):  
Well Being ◽  
Price Impact ◽  
Macroeconomic Fluctuations ◽  
Gdp Per Capita ◽  
Macroeconomic Conditions ◽  
Causal Impact ◽  
Per Capita ◽  
New Evidence ◽  
Robust Evidence ◽  
Over Time

This article exploits plausibly exogenous changes in macroeconomic conditions across home countries over time and panel individual data to examine the causal impact of home countries’ macroeconomic conditions on immigrants’ well-being in Australia. We present new and robust evidence that immigrants in Australia feel happier when their home countries’ macroeconomic conditions improve, as measured by a higher gross domestic product (GDP) per capita or lower price levels. Controlling for immigrants’ observable and unobservable characteristics, we also find that the positive GDP impact is statistically significant and economically large in size. Furthermore, the GDP and price impact erodes as immigrants age or stay in the host country beyond a certain period of time. Our findings suggest that immigrants in Australia have emotional or altruistic connections to their home countries and appear encouraging for home countries increasingly attempting to convince their diasporas to contribute more to the development of their homelands.

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 Informed trading and the price impact of block trades: A high frequency trading analysis

2017 ◽  
Vol 54 ◽  
pp. 114-129 ◽  
Author(s):  
Yuxin Sun ◽  
Gbenga Ibikunle
Keyword(s):  
High Frequency ◽  
Informed Trading ◽  
Price Impact ◽  
High Frequency Trading ◽  
Block Trades

Off‐market block trades: New evidence on transparency and information efficiency

2021 ◽  
Vol 41 (4) ◽  
pp. 478-492
Author(s):  
Alex Frino
Keyword(s):  
Information Efficiency ◽  
Block Trades ◽  
New Evidence
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