Asymmetry in Stock Returns Following Block Trades on the Australian Stock Exchange: A Note
作者:
MICHAEL AITKEN,
ALEX FRINO,
期刊:
Abacus
(WILEY Available online 1996)
卷期:
Volume 32,
issue 1
页码: 54-61
ISSN:0001-3072
年代: 1996
DOI:10.1111/j.1467-6281.1996.tb00450.x
出版商: Blackwell Publishing Ltd
关键词: Pricing;Securities trading
数据来源: WILEY
摘要:
A number of recent US. studies have examined the price impact of large (block) trades using intraday data. A major finding is that the price movement following block trades continues upwards following purchases but reverses following sales. This asymmetry in price behaviour, which suggests that block sellers pay a liquidity premium while block buyers do not, has been described as ‘intriguing’ and a ‘key puzzle’. The purpose of this note is to determine whether the phenomenon exists on the Australian Stock Exchange. Evidence consistent with the ‘puzzling’ asymmetry is shown to exist when returns are measured from the block trade until the close of trade. Contrary to US. findings, which have shown that prices appear to reverse followingbothblock purchases and sales in transaction time analysis, the asymmetry in price behaviour is also demonstrated to exist in transaction returns for the ASX. All results are found to be robust to a number of research design innovations and data
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