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Informed Trading and the Price Impact of Block Trades : A High Frequency Trading Analysis

Sun, Yuxin - 2016

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...

Persistent link: https://www.econbiz.de/10013005626