Large trades and intraday futures price behavior

Alex Frino, Johan Bjursell, George H K Wang, Andrew Lepone

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer-initiated trades have a larger permanent price impact (information effect) than large seller-initiated trades, whereas the opposite is found for the temporary price impact (liquidity effects) of large trades. These results are consistent with previous findings for block and institutional trades in equity markets. However, we also find that the information effects of large sells are larger than large buys in bearish markets, whereas the results are the reverse in bullish markets. The liquidity price effects of buys are larger than the liquidity price effects of sells in bearish markets whereas the reverse results hold in bullish markets. Our results are consistent with the hypothesis that the current economic condition is a key determinant of asymmetric price effects between large buys and large sells.

Original languageEnglish
Pages (from-to)1147-1181
Number of pages35
JournalThe Journal of Futures Markets
Volume28
Issue number12
DOIs
Publication statusPublished - Dec 2008
Externally publishedYes

Fingerprint Dive into the research topics of 'Large trades and intraday futures price behavior'. Together they form a unique fingerprint.

  • Cite this