The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange

In this paper we examine the price impact of block trades for FTSE 100 firms over the time period 1998-2004. Resembling previous research we find evidence of an asymmetric price impact between block purchases and sales. We suggest that bid-ask bias may be a new conjecture to the asymmetry in the differences in buyer and seller initiated trades.

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Year of publication:	2007-02-02
Authors:	Gregoriou, Andros
Institutions:	Money Macro and Finance Research Group
Subject:	Block Trades \| Bid-Ask Bias \| Asymmetry \| Market Microstructure

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Extent:	application/pdf
Series:	Money Macro and Finance (MMF) Research Group Conference 2006.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2006 MMF Conference Papers Number 76
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004977137