Choe, Hyuk; McInish, Thomas H; Wood, Robert A - In: Review of Quantitative Finance and Accounting 5 (1995) 4, pp. 355-63
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...