Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence

被引：4

作者：

Frino, Alex ^{[1
]}

Mollica, Vito ^{[2
]}

Romano, Maria Grazia ^{[3
]}

Zhou, Zeyang ^{[2
]}

机构：

[1] Univ Wollongong, Wollongong, NSW, Australia

[2] Macquarie Univ, Macquarie Pk, NSW, Australia

[3] Univ Salerno, Salerno, Italy

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 04期

关键词：

TRADE DIRECTION; INSTITUTIONAL TRADES; STOCK-PRICES; INFORMATION; MARKET; COSTS; BEHAVIOR; FUTURES; SIZE; TRANSPARENCY;

D O I：

10.1002/fut.21822

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Previous research has identified that the information effects of buyer-initiated trades are greater than seller-initiated trades. We develop a theoretical model that predicts block purchases are relatively more informed in bear markets and block sales are relatively more informed in bull markets. Using a sample of large trades executed in the E-mini S&P 500 index futures and SPDR S&P 500 exchange traded fund, we find evidence consistent with our theoretical model. Our results are robust to volatility and macro-economic news announcements categorized as bullish or bearish. (C) 2016 Wiley Periodicals, Inc.

引用

页码：359 / 373

页数：15

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