Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange

Anderson, Hamish D.; Cooper, Saphhire; Prevost, Andrew K.

doi:10.2139/ssrn.308622

Download This Paper

Open PDF in Browser

Add Paper to My Library

Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange

Massey University, Department of Finance, Banking & Property Working Paper No. 02-02

35 Pages Posted: 6 May 2002

See all articles by Hamish D. Anderson

Hamish D. Anderson

Massey University - School of Economics and Finance

Andrew K. Prevost

University of Vermont

Date Written: March 2002

Abstract

This paper examines the price response to large block transactions made on the Australian Stock Exchange during the 1999 sample period. We find asymmetry in the price reaction between buyer- and seller-initiated trades with respect to size and resiliency following the trade. We extend previous research by examining order book changes surrounding block trades and relating price effects to changes in book depth. Purchases are associated with persistent order book imbalance, while the sales imbalance is insignificant. Cross-sectional analysis demonstrates that price resiliency following a trade is related to the speed at which limit orders arrive to replenish book depth.

Keywords: Block Trades; Market Microstructure; Liquidity; Depth, Resiliency

JEL Classification: G12, G14, G15

Suggested Citation: Suggested Citation

Anderson, Hamish D. and Cooper, Saphhire and Prevost, Andrew K., Block Trade Price Asymmetry and Changes in Depth: Evidence from the Australian Stock Exchange (March 2002). Massey University, Department of Finance, Banking & Property Working Paper No. 02-02, Available at SSRN: https://ssrn.com/abstract=308622 or http://dx.doi.org/10.2139/ssrn.308622