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

  • Ajay Pandey


  • Sobhesh Kumar Agarwalla


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    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]

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

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    Date of creation: Jun 2010
    Date of revision:
    Handle: RePEc:ess:wpaper:id:2618
    Note: Institutional Papers
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    1. Chan, Louis K C & Lakonishok, Josef, 1995. " The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-74, September.
    2. Alex Frino & Elvis Jarnecic & Andrew Lepone, 2007. "The determinants of the price impact of block trades: further evidence," Abacus, Accounting Foundation, University of Sydney, vol. 43(1), pages 94-106.
    3. 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.
    4. 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, vol. 41(2), pages 247-271, 05.
    5. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
    6. 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, vol. 19(2), pages 237-267, December.
    7. 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, vol. 45(2), pages 179-211, April.
    8. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    9. Saar, Gideon, 2001. "Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation," Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 1153-81.
    10. 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.
    11. Alex Frino & Johan Bjursell & George H. K. Wang & Andrew Lepone, 2008. "Large trades and intraday futures price behavior," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(12), pages 1147-1181, December.
    12. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, vol. 46(3), pages 265-292, December.
    13. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    14. Mikkelson, Wayne H. & Partch, M. Megan, 1985. "Stock price effects and costs of secondary distributions," Journal of Financial Economics, Elsevier, vol. 14(2), pages 165-194, June.
    15. 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, vol. 59(2), pages 869-898, 04.
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