On liquidity around large-block trades : Upstairs trading mechanisms, price impacts and common factors
- Chen, Chwen Chwen
- Barone Adesi, Giovanni (Degree supervisor)
- Degeorge, François (Degree committee member)
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25.11.2004
126
Thèse de doctorat: Università della Svizzera italiana, 2004 (jury note: magna cum laude)
English
Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions. The objective for this study is to expand our knowledge about the economic role of upstairs markets as source of liquidity for institutional investors. We carry out our analysis by investigating intraday dynamics of price and liquidity impacts of large-block trades on the Italian Exchange. We also provide an empirical analysis of intraday and interday variations in block trading activity in order to uncover any systematic pattern in trading activity of traders that typically place large-block orders.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 5895
- URN urn:nbn:ch:rero-006-108447
- ARK ark:/12658/srd1318013
- Persistent URL
- https://n2t.net/ark:/12658/srd1318013
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