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Block versus Nonblock Trading Patterns

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  • Choe, Hyuk
  • McInish, Thomas H
  • Wood, Robert A

Abstract

We investigate the relationship between the number of block (> or equal to 20,000 shares) trades over the trading day and across exchanges. In general, for each day of the week, the ratio increases from the first to the second period, declines through the period ending at 3:30 p.m., and increases for the last 30-minute period. Periods with increased small trading activity experience a more than proportionate increase in block trades. Differences across exchanges in the intraday pattern of block trades in relation to smaller trades are reported. Copyright 1995 by Kluwer Academic Publishers

Suggested Citation

  • Choe, Hyuk & McInish, Thomas H & Wood, Robert A, 1995. "Block versus Nonblock Trading Patterns," Review of Quantitative Finance and Accounting, Springer, vol. 5(4), pages 355-363, December.
    • Handle: RePEc:kap:rqfnac:v:5:y:1995:i:4:p:355-63
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    Cited by:

    1. Ren, Fei & Zhong, Li-Xin, 2012. "The price impact asymmetry of institutional trading in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2667-2677.
    2. Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012. "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, vol. 104(2), pages 339-362.
    3. Fei Ren & Li-Xin Zhong, 2011. "Price impact asymmetry of institutional trading in Chinese stock market," Papers 1110.3133, arXiv.org.

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