create a website

Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange. (2019). Lepone, Andrew ; Frino, Alex.
In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
RePEc:wsi:rpbfmp:v:22:y:2019:i:03:n:s0219091519500206.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 39

References cited by this document

Cocites: 19

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aitken, MJ and A Frino [1996b] The Accuracy of the tick test: Evidence from the Australian Stock Exchange. Journal of Banking and Finance, 20, 1715–1729.
    Paper not yet in RePEc: Add citation now
  2. Anderson, AJ and MS Long (2017) Explaining the on-the-run puzzle with corporate bonds. Review of Pacific Basin Financial Markets and Policies, 20, 25–40.

  3. ASX (2016). Understanding bonds, a guide to understanding simple bonds traded on ASX, https://www.asx.com.au/documents/products/Understanding_Bonds-AGB_web_version.pdf (accessed 18 April 2018).
    Paper not yet in RePEc: Add citation now
  4. Ball, R and FJ Finn (1989) The effect of block transactions on share prices: Australian evidence. Journal of Banking and Finance, 13, 397–419.

  5. Battellino, M and R Chambers (2011). An overview of the Australian corporate bond market. Reserve Bank of Australia.
    Paper not yet in RePEc: Add citation now
  6. Batten, JA, WP Hogan and PG Szilagy (2011) The role of foreign bond issuance: The case of Australia. Australian Economic Review, 44, 36–50.

  7. Bessembinder, H, W Maxwell and K Venkataraman (2006) Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. Journal of Financial Economics, 82, 251–288.

  8. Black, S, A Brassil and M Hack (2010). The impact of the financial crisis on the bond market. Reserve Bank of Australia.

  9. Black, S, J Kirkwood, A Rai and T Williams (2012). A history of Australian corporate bonds. Reserve Bank of Australia.

  10. Chan, LKC and J Lakonishok (1993) Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33, 173–199.

  11. Chan, LKC and J Lakonishok (1995) The behavior of stock prices around institutional trades. Journal of Finance, 50, 1147–1174.

  12. Chan, LKC and J Lakonishok (1997) Institutional equity trading costs: NYSE versus NASDAQ. Journal of Finance, 52, 713–735.

  13. Chan, YC and LTW Cheng (2009) Price reversals versus price continuations: The transitory price effects of futures trading extension on the underlying stock market. Review of Quantitative Finance and Accounting, 33, 159–176.

  14. Chen, P, J Wang and C Wu (2011) The informativeness of corporate bond trades. Review of Pacific Basin Financial Markets and Policies, 14, 367–428.

  15. Chiyachantana, CN, PK Jain, C Jiang and RA Wood (2004) International evidence on institutional trading behavior and price impact. The Journal of Finance, 59, 869–898.

  16. Choe, E, T McInish and RA Wood (1992). Market microstructure effects on the measurement of the impact of block trades. Working Paper, University of Memphis.
    Paper not yet in RePEc: Add citation now
  17. Edwards, AK, LE Harris and MS Piwowar (2007) Corporate bond market transaction costs and transparency. The Journal of Finance, 62, 1421–1451.

  18. Frino, A, D Johnstone and H Zheng (2010) Anonymity, stealth trading, and the information content of broker identity. The Financial Review, 45, 501–522.

  19. Frino, A, E Jarnecic and A Lepone (2009) An event time study of the price reaction to large retail trades. The Quarterly Review of Economics and Finance, 49, 617–632.

  20. Frino, A, E Jarnecic, D Johnstone and A Lepone (2005) Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange. Pacific — Basin Finance Journal, 12, 247–262.

  21. Frino, A, J Kruk and A Lepone (2011) The determinants of execution costs in short-term money markets. The Financial Review, 46, 337–355.

  22. Frino, A, PW He and A Lepone (2014) The pricing and efficiency of Australian treasury bond futures: A note. Australasian Accounting, Business and Finance Journal, 8, 3–14.
    Paper not yet in RePEc: Add citation now
  23. Gemmill, G (1996) Transparency and liquidity: A study of block trades in the London Stock Exchange under different publication rules. Journal of Finance, 51, 1765–1790.

  24. Holthausen, RW, RW Leftwich and D Mayers (1987) The effect of large block transactions on security prices, Journal of Financial Economics, 19, 237–267.

  25. Holthausen, RW, RW Leftwich and D Mayers (1990) Large-block transactions, the speed of response, and temporary and permanent stock-price effects. Journal of Financial Economics, 26, 71–95.

  26. Hotchkiss, ES and T Ronen (2002) The informational efficiency of the corporate bond market: An intraday analysis. The Review of Financial Studies, 15, 1325–1354.

  27. Keim, DB and A Madhavan (1995) The anatomy of the trading process: Empirical evidence on the behavior of institutional traders. Journal of Financial Economics, 25, 75–98.

  28. Keim, DB and A Madhavan (1996) The upstairs market for large-block transactions: Analysis and measurement of price effects. Review of Financial Studies, 9, 1–36.

  29. Keim, DB and A Madhavan (1997) Transaction costs and investment style: An inter-exchange analysis of institutional equity trades. Journal of Financial Economics, 46, 265–292.

  30. Kraus, A and HR Stoll (1972) Price impact of block trading on the New York Stock Exchange. The Journal of Finance, 27, 569–588.

  31. Kyle, P (1985) Continuous auctions and insider trading. Econometrica, 53, 1315–1335.

  32. Lee, CMC and MJ Ready (1991) Inferring trade direction from intraday data. The Journal of Finance, 46, 733–746.

  33. Maul, D and D Schiereck (2017) The bond event study methodology since 1974. Review of Quantitative Finance and Accounting, 48, 749–787.

  34. Myers, SC and NS Majluf (1984) Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics, 13, 187–221, http://australianshareholders.com.au/asa_site/index.php?option=com_content&view=article&id=810:opening-the-corporate-bond-market-to-retail-investors&catid=39:news-and-media&Itemid=59, Orr (Dixon Advisory), December 2009.

  35. Saar, G (2001) Price impact asymmetry of block trades: An institutional trading explanation. The Review of Financial Studies, 14, 1153–1181.

  36. Scholes, MS (1972) The market for securities: Substitution versus price pressure and the effects of information on share prices. The Journal of Business, 45, 179–211.

  37. Schultz, P (2001) Corporate bond trading costs: A peek behind the curtain. The Journal of Finance, 46, 677–698.

  38. Sun, Y and G Ibikunle (2018) Informed trading and the price impact of block trades: A high frequency trading analysis. International Review of Financial Analysis, 54, 114–129.
    Paper not yet in RePEc: Add citation now
  39. Toth, B, Z Eisler and JP Bouchaud (2017) The short-term price impact of trades is universal. Review of Pacific Basin Financial Markets and Policies, 3, 185–205.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Distress risk, product market competition, and corporate bond yield spreads. (2020). Lee, Han-Hsing.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00869-6.

    Full description at Econpapers || Download paper

  2. Overnight block trades in the Korean stock market. (2020). Kim, Suk Bong ; Hur, Seokkyun ; Chung, Chune Young.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:3:p:2231-2261.

    Full description at Econpapers || Download paper

  3. Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange. (2019). Lepone, Andrew ; Frino, Alex.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:22:y:2019:i:03:n:s0219091519500206.

    Full description at Econpapers || Download paper

  4. Price manipulation, front running and bulk trades: Evidence from India. (2015). Kumar, Satish ; Bang, Nupur Pavan ; Rastogi, Nikhil ; Chaturvedula, Chakrapani.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:23:y:2015:i:c:p:26-45.

    Full description at Econpapers || Download paper

  5. Market impacts of trades for stocks listed on the Borsa Istanbul. (2014). Aktas, Osman Ulas ; Kryzanowski, Lawrence.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:20:y:2014:i:c:p:152-175.

    Full description at Econpapers || Download paper

  6. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
    In: PhD Thesis.
    RePEc:uts:finphd:4.

    Full description at Econpapers || Download paper

  7. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2013.

    Full description at Econpapers || Download paper

  8. Foreign Bond Markets and Financial Market Development: International Perspectives. (2010). Szilagyi, Peter ; Batten, Jonathan ; Hogan, Warren P..
    In: Working Papers.
    RePEc:ess:wpaper:id:3042.

    Full description at Econpapers || Download paper

  9. Inflation, financial development, and growth: A trilateral analysis. (2009). YILMAZKUDAY, HAKAN ; Rousseau, Peter.
    In: Economic Systems.
    RePEc:eee:ecosys:v:33:y:2009:i:4:p:310-324.

    Full description at Econpapers || Download paper

  10. Information transmission around block trades on the Spanish stock exchange. (2005). Tapia, M. ; MARTiNEZ, M. A. ; Yzaguirre, J..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:3:p:173-186.

    Full description at Econpapers || Download paper

  11. The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq. (2005). Roth, Lukas ; Loderer, Claudio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:2:p:239-268.

    Full description at Econpapers || Download paper

  12. Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt. (2003). Hacker, Mirko ; Oehler, Andreas.
    In: Discussion Papers.
    RePEc:zbw:bamfin:20.

    Full description at Econpapers || Download paper

  13. Stealth-Trading: Which Traders Trades Move Stock Prices?. (2002). Chakravarty, Sugato.
    In: Finance.
    RePEc:wpa:wuwpfi:0201003.

    Full description at Econpapers || Download paper

  14. Transparency and Fragmentation. (2002). Wells, Stephen ; Board, John ; Sutcliffe, Charles.
    In: Palgrave Macmillan Books.
    RePEc:pal:palbok:978-1-4039-0707-3.

    Full description at Econpapers || Download paper

  15. Stealth-trading: Which traders trades move stock prices?. (2001). Chakravarty, Sugato ; Sugato, Chakravarty.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:61:y:2001:i:2:p:289-307.

    Full description at Econpapers || Download paper

  16. Information transmission around block trades on the Spanish stock market. (1998). Tapia, Mikel ; Martinez, Miguel Angel ; Yzaguirre, J.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:6531.

    Full description at Econpapers || Download paper

  17. Orders vs Trades: Price Effects and Size Measures. (1997). .
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:22:y:1997:i:1:p:47-69.

    Full description at Econpapers || Download paper

  18. Price reaction to order flow news in Australian equities. (1997). Walsh, David M..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:5:y:1997:i:1:p:1-23.

    Full description at Econpapers || Download paper

  19. Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades. (1997). Muscarella Chris J., ; Michele, LaPlante.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:45:y:1997:i:1:p:97-134.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-01 00:29:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.