The immediate price impact of trades on the Australian Stock Exchange

Marcus Lim and Richard Coggins

Quantitative Finance, 2005, vol. 5, issue 4, 365-377

Abstract: We study the immediate price impact of a single trade executed in the Australian Stock Exchange (ASX). By ordering the top 300 stocks on the ASX in order of their free float market capitalization, a clear pattern emerges, with higher cap stocks experiencing lower price impact than lower cap stocks for the same traded volume. We investigate this relationship in detail, and show that the price impact and liquidity scale as a power of the market capitalization. This relationship is used to obtain a single market impact curve which shows average price shift as a function of volume traded. We obtain similar results for every year from 2001 to 2004.

Keywords: Immediate price impact; Australian Stock Exchange; Single trade (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (33)

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DOI: 10.1080/14697680500151400

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