Access the full text.
Sign up today, get DeepDyve free for 14 days.
Purpose – This paper aims to examine the price impact of block trades for FTSE 100 firms. Design/methodology/approach – Using event studies a sample of 1.6 million block purchases and 1.2 million block sales over the time period 1998‐2005 is analysed. Findings – Once block price effects are estimated using quote returns to eliminate bid‐ask bias, the asymmetry in buyer and seller initiated trades is eliminated. Research limitations/implications – A possible avenue for future research may be to look at the impact of inflation on the asymmetry between block purchases and sales. This may be an interesting extension to the current study given that inflation appears to be an important determinant of the equity premium in international stock markets. Practical implications – The empirical results suggest that market liquidity is one of the factors that is driving the asymmetry between block purchases and sales on the London Stock Exchange. The paper is of interest to academics and practitioners who study and invest in block trades. Originality/value – This is the first study of the UK stock market to encapsulate bid‐ask biases in block trades.
Journal of Economic Studies – Emerald Publishing
Published: May 16, 2008
Keywords: Stock exchanges; Stocks; Bid offer spreads
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.