TY - JOUR
T1 - Asymmetry in stock returns following block trades on the Australian Stock Exchange
T2 - A note
AU - Aitken, Michael
AU - Frino, Alex
PY - 1996/3/1
Y1 - 1996/3/1
N2 - A number of recent U.S. 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 U.S. findings, which have shown that prices appear to reverse following both block 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 partitions.
AB - A number of recent U.S. 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 U.S. findings, which have shown that prices appear to reverse following both block 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 partitions.
U2 - 10.1111/j.1467-6281.1996.tb00450.x
DO - 10.1111/j.1467-6281.1996.tb00450.x
M3 - Article
VL - 32
SP - 54
EP - 61
JO - Abacus: journal of accounting, finance and business studies
JF - Abacus: journal of accounting, finance and business studies
SN - 0001-3072
IS - 1
ER -