Title

Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence

RIS ID

111358

Publication Details

Frino, A., Mollica, V., Romano, M. & Zhou, Z. (2017). Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence. Journal of Futures Markets, 37 (4), 359-373.

Abstract

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.

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Link to publisher version (DOI)

http://dx.doi.org/10.1002/fut.21822