The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange
AbstractIn this paper we examine the price impact of block trades for FTSE 100 firms over the time period 1998-2004. Resembling previous research we find evidence of an asymmetric price impact between block purchases and sales. We suggest that bid-ask bias may be a new conjecture to the asymmetry in the differences in buyer and seller initiated trades.
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Bibliographic InfoPaper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2006 with number 76.
Date of creation: 02 Feb 2007
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Block Trades; Bid-Ask Bias; Asymmetry; Market Microstructure;
Other versions of this item:
- Andros Gregoriou, 2008. "The asymmetry of the price impact of block trades and the bid-ask spread: Evidence from the London Stock Exchange," Journal of Economic Studies, Emerald Group Publishing, vol. 35(2), pages 191-199, May.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-FMK-2007-04-09 (Financial Markets)
- NEP-MST-2007-04-09 (Market Microstructure)
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.:
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