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, 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.
References listed on IDEAS
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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.
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- Fei Ren & Li-Xin Zhong, 2011. "Price impact asymmetry of institutional trading in Chinese stock market," Papers 1110.3133, arXiv.org.
- 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.
More about this item
KeywordsBlock Trades; Bid-Ask Bias; Asymmetry; Market Microstructure;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis 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)
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