The Intra-day Impact of Block Trades on the Australian Stock Exchange  

Oleh:

Aitken, Michael ; Frino, Alex ; Sayers, Stuart

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Asia Pacific Journal of Management vol. 11 no. 2 (Okt. 1994), page 237-253.
Fulltext: Michael Aitken.pdf (35.03KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: AA66 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Transaction prices, market spreads, and trading frequency surrounding blocks are examined using data from the Australian Stock Exchange. The analysis also implements a number of research design improvements made possible by a unique microstructure database to provide a number of new empirical findings. For example, the analysis of excess returns surrounding blocks uses a measure that is purged of bid-ask bounce. There is evidence of significant returns only in the transaction interval in which the block takes place. This tends to imply that the finding in earlier studies of significant returns for the transaction following the block could be attributable to bid-ask bounce. Unlike prior studies, the data enable the precise identification of buyer- and seller-initiated blocks. Contrary to the price pressure and liquidity cost hypotheses, there is no evidence of a reversal in price following a block trade. In fact, there are continued price increases after block buys and continued price decreases after block sales.

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