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Università della Svizzera italiana

On liquidity around large-block trades : Upstairs trading mechanisms, price impacts and common factors

Chen, Chwen Chwen ; Barone Adesi, Giovanni (Dir.) ; Degeorge, François (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO008.

Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions....