TY - CHAP
T1 - Price behaviour surrounding block transactions in stock index futures markets
T2 - international evidence
AU - Frino, Alex
AU - Kruk, Jennifer
AU - Lepone, Andrew
PY - 2007
Y1 - 2007
N2 - This chapter examines the price impact of large trades in futures markets across 14 stock index futures contracts in 11 different international markets. On the balance, we find that part of the initial price effect of futures trades is temporary. These initial price effects are partially reversed, implying that they incur a liquidity premium; though there is some variation in this finding across markets. We also find strong evidence that large buyer- and seller-initiated trades have positive and negative permanent effects on prices, implying they convey information. We conclude, similar to research based on equities markets, that traders in futures markets are informed.
AB - This chapter examines the price impact of large trades in futures markets across 14 stock index futures contracts in 11 different international markets. On the balance, we find that part of the initial price effect of futures trades is temporary. These initial price effects are partially reversed, implying that they incur a liquidity premium; though there is some variation in this finding across markets. We also find strong evidence that large buyer- and seller-initiated trades have positive and negative permanent effects on prices, implying they convey information. We conclude, similar to research based on equities markets, that traders in futures markets are informed.
UR - http://www.scopus.com/inward/record.url?scp=36549051165&partnerID=8YFLogxK
U2 - 10.1016/S1569-3767(07)00014-3
DO - 10.1016/S1569-3767(07)00014-3
M3 - Chapter
AN - SCOPUS:36549051165
SN - 0762314710
SN - 9780762314713
VL - 7
T3 - International Finance Review
SP - 289
EP - 303
BT - Asia-Pacific financial markets
A2 - Kim, Suk-Joong
A2 - McKenzie, Michael
PB - Elsevier
CY - Oxford, UK
ER -