Advanced Search
MyIDEAS: Login to save this paper or follow this series

Price Impact of Block Trades and Price Behavior Surrounding Block Trades in Indian Capital Market

Contents:

Author Info

  • Ajay Pandey

    ()

  • Sobhesh Kumar Agarwalla

    ()

Registered author(s):

    Abstract

    This paper analyzes the permanent (information effect) and temporary (liquidity effect) impact of block trades transacted in the National Stock Exchange of India.[W.P. No. 2010-04-02]

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.esocialsciences.org/Download/repecDownload.aspx?fname=Document1296201020.7301142.pdf&fcategory=Articles&AId=2618&fref=repec
    Our checks indicate that this address may not be valid because: 403 Forbidden. If this is indeed the case, please notify (Padma Prakash)
    Download Restriction: no

    Bibliographic Info

    Paper provided by eSocialSciences in its series Working Papers with number id:2618.

    as in new window
    Length:
    Date of creation: Jun 2010
    Date of revision:
    Handle: RePEc:ess:wpaper:id:2618

    Note: Institutional Papers
    Contact details of provider:
    Web page: http://www.esocialsciences.org

    Related research

    Keywords: Block Trades; Market Microstructure; All-or-None Trades;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Hamish D. Anderson & Sapphire Cooper & Andrew K. Prevost, 2006. "Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 41(2), pages 247-271, 05.
    2. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(3), pages 205-258, August.
    3. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(2), pages 173-199, April.
    4. Saar, Gideon, 2001. "Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 14(4), pages 1153-81.
    5. Keim, Donald B & Madhaven, Ananth, 1996. "The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 1-36.
    6. Mikkelson, Wayne H. & Partch, M. Megan, 1985. "Stock price effects and costs of secondary distributions," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 165-194, June.
    7. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 13(3), pages 247-262, June.
    8. Alex Frino & Elvis Jarnecic & Andrew Lepone, 2007. "The determinants of the price impact of block trades: further evidence," Abacus, Accounting Foundation, University of Sydney, Accounting Foundation, University of Sydney, vol. 43(1), pages 94-106.
    9. Scholes, Myron S, 1972. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 45(2), pages 179-211, April.
    10. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 579-90, July.
    11. Chan, Louis K C & Lakonishok, Josef, 1995. " The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, American Finance Association, vol. 50(4), pages 1147-74, September.
    12. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
    13. Madhavan, Ananth, 1995. "Consolidation, Fragmentation, and the Disclosure of Trading Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 579-603.
    14. Chiraphol N. Chiyachantana & Pankaj K. Jain & Christine Jiang & Robert A. Wood, 2004. "International Evidence on Institutional Trading Behavior and Price Impact," Journal of Finance, American Finance Association, American Finance Association, vol. 59(2), pages 869-898, 04.
    15. Holthausen, Robert W. & Leftwich, Richard W. & Mayers, David, 1987. "The effect of large block transactions on security prices: A cross-sectional analysis," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(2), pages 237-267, December.
    16. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(3), pages 265-292, December.
    17. Holthausen, Robert W. & Leftwich, Richard W. & Mayers, David, 1990. "Large-block transactions, the speed of response, and temporary and permanent stock-price effects," Journal of Financial Economics, Elsevier, Elsevier, vol. 26(1), pages 71-95, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ess:wpaper:id:2618. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Padma Prakash).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.