Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence | Zendy

Frino Alex | Zendy; Mollica Vito | Zendy; Romano Maria Grazia | Zendy; Zhou Zeyang | Zendy

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Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence

Author(s) -

Frino Alex,

Mollica Vito,

Romano Maria Grazia,

Zhou Zeyang

Publication year - 2017

Publication title -

journal of futures markets

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.88

H-Index - 55

eISSN - 1096-9934

pISSN - 0270-7314

DOI - 10.1002/fut.21822

Subject(s) - futures contract , volatility (finance) , economics , empirical evidence , financial economics , monetary economics , futures market , information asymmetry , index (typography) , econometrics , microeconomics , epistemology , philosophy , world wide web , computer science

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. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:359–373, 2017

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