haku: @author Ellul, A. / yhteensä: 2
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| Tekijä: | Ellul, A. |
| Otsikko: | Ripples through markets: inter-market impacts generated by large trades |
| Lehti: | Journal of Financial Economics
2006 : OCT, VOL. 82;1, p. 173-196 |
| Asiasana: | information stock markets trading |
| Kieli: | eng |
| Tiivistelmä: | This article uses a sample of large trades executed on the London Stock Exchange's SEAQ-I market for European cross-traded companies to ivestigate their impact on home market prices when parallel markets suffer from information fractions. It is found that 1) large London trades produce price impacts in home markets even though no timely information is published, 2) market makers appear to pre- and post-position their inventories by splitting orders across markets, and 3) 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. |
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