Informed trading and the price impact of block trades: A high frequency trading analysis

Yuxin Sun, Gbenga Ibikunle

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery.
Original languageEnglish
Pages (from-to)114-129
JournalInternational Review of Financial Analysis
Volume54
Early online date5 Aug 2016
DOIs
Publication statusPublished - 2017

Keywords / Materials (for Non-textual outputs)

  • Informed trading
  • Block trades
  • Transparency
  • Opacity
  • Price impact
  • Price discovery

Fingerprint

Dive into the research topics of 'Informed trading and the price impact of block trades: A high frequency trading analysis'. Together they form a unique fingerprint.

Cite this