Asia Pacific Journal of Management

, Volume 11, Issue 2, pp 237–253 | Cite as

The intra-day impact of block trades on the Australian stock exchange

  • Michael Aitken
  • Alex Frino
  • Stuart Sayers


This study is concerned with the impact of block trades on transaction prices, themarket bid-ask spread and the frequency of trading on the Australian Stock Exchange. Access to a unique microstructure database enabled the resolution of a number of research design issues in earlier, mainly US-based, studies. Contrary to previous findings, there is no evidence of either a price reversal or changes in the market bid-ask spread surrounding block trades. Further, there is no evidence of an increase in the frequency of trades surrounding block trades. These contrasting results warrant closer inspection of the alternative market structures underlying the different exchanges.


Microstructure Research Design Stock Exchange Close Inspection Market Structure 
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Copyright information

© Faculty of Business Administration National University of Singapore 1994

Authors and Affiliations

  • Michael Aitken
  • Alex Frino
  • Stuart Sayers

There are no affiliations available

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