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Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

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  • Frino, Alex
  • Jarnecic, Elvis
  • Johnstone, David
  • Lepone, Andrew

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  • 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, vol. 13(3), pages 247-262, June.
    • Handle: RePEc:eee:pacfin:v:13:y:2005:i:3:p:247-262
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    7. 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, vol. 9(1), pages 1-36.
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    9. Michael J. Aitken & Alex Frino & Michael S. McCorry & Peter L. Swan, 1998. "Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange," Journal of Finance, American Finance Association, vol. 53(6), pages 2205-2223, December.
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    24. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
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    Cited by:

    1. Frino, Alex & Jarnecic, Elvis & Lepone, Andrew, 2009. "An event time study of the price reaction to large retail trades," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 617-632, May.
    2. Cong Chen & Carole Comerton-Forde & David R. Gallagher & Terry S. Walter, 2010. "Investment manager skill in small-cap equities," Australian Journal of Management, Australian School of Business, vol. 35(1), pages 23-49, April.
    3. Frino, Alex & Lepone, Grace & Wright, Danika, 2015. "Investor characteristics and the disposition effect," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 1-12.
    4. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
    5. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2010. "Price Impact of Block Trades and Price Behavior Surrounding Block Trades in Indian Capital Market," IIMA Working Papers WP2010-04-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    6. Alex Frino & Andrew Lepone & Grace Lepone, 2019. "Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-22, September.
    7. Ajay Pandey & Sobhesh Kumar Agarwalla, 2010. "Price Impact of Block Trades and Price Behavior Surrounding Block Trades in Indian Capital Market," Working Papers id:2618, eSocialSciences.
    8. 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, number 4, July-Dece.
    9. Lien, Donald & Hung, Pi-Hsia & Wu, Yi-Hsien, 2023. "An intraday analysis of block orders on the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 133-147.
    10. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
    11. 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, number 2-2013.
    12. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Market impacts of trades for stocks listed on the Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 20(C), pages 152-175.

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