The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
نویسندگان
چکیده
This article develops a model of the upstairs market where order size, beliefs, and prices are determined endogenously. We test the model’s predictions using unique data for 5,625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as either buyer or seller initiated. We find that price movements prior to the trade date are significantly positively related to trade size, consistent with information leakage as the block is “shopped” upstairs. Further, the temporary price impact or liquidity effect is a concave function of order size, which may result from upstairs intermediation.
منابع مشابه
Investigating the Effects of Large Block Transactions and Owner-ship Nature on Non-Financial Disclosure
Having adequate, sufficient and timely information and data is very important for investors' decision making. Processing information and allocating the asset are two fundamental tasks in the securities market and the stock price is more likely to have the nature of disclosure, information effectiveness and asset allocation efficiency. Thus, in this research, the effects of large block transacti...
متن کاملStock Market Fraud Detection, A Probabilistic Approach
In order to have a fair market condition, it is crucial that regulators continuously monitor the stock market for possible fraud and market manipulation. There are many types of fraudulent activities defined in this context. In our paper we will be focusing on "front running". According to Association of Certified Fraud Examiners, front running is a form of insider information and thus is very ...
متن کاملTrading and Pricing in Upstairs and Downstairs Stock Markets
We provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market. Using Helsinki Stock Exchange data, we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades. This is consistent with the hypotheses that the upstairs market is better at pricing ...
متن کاملبرآورد تابع هدانیک قیمت خودرو در ایران
From technology, security and physical points of view automobiles are different regarding Hedonic price model, price of a car is a set of implicit prices concerning different characteristics. In this article we estimate the Hedonic price models using 2009 Iranian automobile market data concerning different characteristics for small cars (Engine capacity of 2000cc and less) and large cars (Engi...
متن کاملInvestigating the Competition Status and the Impact of Market Power on Electricity Price: Case of Iran's Wholesale Electricity Market
Policy makers need to be acquainted with market competition statue. it would ease the decision making and restructuring of market. The aim of this study is to measure the competition of the wholesale electricity market and then investigate the impact of market power on wholesale electricity price during 2013 to 2017. The Result shows that market share of P.U.s in the wholesale electricity marke...
متن کامل