The asymmetry of the price impact of block trades and the bid-ask spread: Evidence from the London Stock Exchange
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- Andros Gregoriou, 2007. "The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange," Money Macro and Finance (MMF) Research Group Conference 2006 76, Money Macro and Finance Research Group.
References listed on IDEAS
- Engle, Robert F. & Patton, Andrew J., 2004.
"Impacts of trades in an error-correction model of quote prices,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Luisella Bosetti & Pietro Gottardo & Maurizio Murgia & Andrea Pinna, 2014. "The Impact of Large Orders in Electronic Markets," BEMPS - Bozen Economics & Management Paper Series BEMPS15, Faculty of Economics and Management at the Free University of Bozen.
- 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.
- Alex Frino & Vito Mollica & Maria Grazia Romano, 2013. "Transaction fees and trading strategies in financial markets," STUDI ECONOMICI, FrancoAngeli Editore, pages 25-49.
- 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.
- Fei Ren & Li-Xin Zhong, 2011. "Price impact asymmetry of institutional trading in Chinese stock market," Papers 1110.3133, arXiv.org.
More about this item
KeywordsStock exchanges; Stocks; Bid offer spreads;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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