| Abstract: | This study is concerned with the impact of block trades on transaction prices, themarket 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.The authors are from the Department of Finance, the University of Sydney, Australia. The comments and suggestions of colleagues at the Universities of Sydney, New South Wales, and Queensland are gratefully acknowledged. |
