Large Trades on the Tunisian Stock Exchange: Downstairs versus Upstairs Stock Markets

Large Trades on the Tunisian Stock Exchange: Downstairs versus Upstairs Stock Markets

Article ID

25236

,

Large Trades on the Tunisian Stock Exchange: Downstairs versus Upstairs Stock Markets

Dr. Monia Antar Limem University of Jendouba

Jilani Faouzi

DOI

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Abstract

This study examines the price impact differences between large trades routed to the central market and blocks traded on the upstairs market, on the Tunisian Stock Exchange. The results show that large transactions affect stock prices, whether they are routed upstairs or downstairs. In addition, these price impacts are quite different depending on where the execution takes place, especially around large sales. The results of empirical investigations also show that, when an upstairs market is governed by too restrictive rules and when brokers don’t have the reflex or avoid trading upstairs, block market does not necessarily improve cost execution.

Large Trades on the Tunisian Stock Exchange: Downstairs versus Upstairs Stock Markets

This study examines the price impact differences between large trades routed to the central market and blocks traded on the upstairs market, on the Tunisian Stock Exchange. The results show that large transactions affect stock prices, whether they are routed upstairs or downstairs. In addition, these price impacts are quite different depending on where the execution takes place, especially around large sales. The results of empirical investigations also show that, when an upstairs market is governed by too restrictive rules and when brokers don’t have the reflex or avoid trading upstairs, block market does not necessarily improve cost execution.

Authors

Dr. Monia Antar Limem University of Jendouba

Jilani Faouzi

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How to Cite

Dr. Monia Antar Limem. 1970. “. Unknown Journal GJMBR Volume 12 (GJMBR Volume 12 Issue 22): .

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GJMBR Volume 12 Issue 22
Pg. 25- 35

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Submission Received February 7, 2012
Accepted March 1, 2012
Published March 15, 2012

Keywords

and trade difficulty cost execution fragmentation price impact upstairs market

Article Matrices

Total Score: 107

Country: Tunisia

Subject: Uncategorized

Authors: Dr. Monia Antar Limem, Jilani Faouzi (PhD/Dr. count: 1)

View Count (all-time): 83

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Total Downloads (simulated): 11107

Publish Date: 1970 01, Thu

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