The intra-day impact of block trades on the Australian stock exchange

Michael Aitken, Alex Frino, Stuart Sayers

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This study is concerned with the impact of block trades on transaction prices, the market bid-ask spread and the frequency of trading on the Australian Stock Exchange. Access to a unique microstructure database enabled the resolution of a number of research design issues in earlier, mainly US-based, studies. Contrary to previous findings, there is no evidence of either a price reversal or changes in the market bid-ask spread surrounding block trades. Further, there is no evidence of an increase in the frequency of trades surrounding block trades. These contrasting results warrant closer inspection of the alternative market structures underlying the different exchanges.

Original languageEnglish
Pages (from-to)237-253
Number of pages17
JournalAsia Pacific Journal of Management
Volume11
Issue number2
DOIs
Publication statusPublished - Oct 1994

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