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

Hamish Anderson, Sapphire Cooper and Andrew K. Prevost

The Financial Review, 2006, vol. 41, issue 2, 247-271

Abstract: This paper examines the price response to large block transactions 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.

Date: 2006
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