Ripples through markets: Inter-market impacts generated by large trades

• 成果类型: Article
• 署名作者: Ellul, Andrew
• 署名单位: Indiana University System; Indiana University Bloomington; IU Kelley School of Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.011
• 发表日期: 2006
• 页码: 173-196
• 关键词: cross-listed companies; information across markets; TRANSPARENCY; large trades

摘要

This paper uses a sample of large trades executed on the London Stock Exchange's SEAQ-I market for European cross-traded firms to investigate their impact on home market prices when parallel markets suffer from information frictions. I find that (a) large London trades produce price impacts in home markets even though no timely information is published, (b) market makers appear to pre- and post-position their inventories by splitting orders across markets, and (c) the price discovery process across markets changes significantly around large trades with the foreign market making a significantly bigger contribution to price discovery at this time, even though information opaqueness exists. (c) 2006 Elsevier B.V. All rights reserved.