Block versus Nonblock Trading Patterns.

We investigate the relationship between the number of block (> or equal to 20,000 shares) trades over the trading day and across exchanges. In general, for each day of the week, the ratio increases from the first to the second period, declines through the period ending at 3:30 p.m., and increases for the last 30-minute period. Periods with increased small trading activity experience a more than proportionate increase in block trades. Differences across exchanges in the intraday pattern of block trades in relation to smaller trades are reported. Copyright 1995 by Kluwer Academic Publishers