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9. What are the temporary and permanent price effects of block trading? a. Given the following transaction records, decide which trades are likely to
9. What are the temporary and permanent price effects of block trading? a. Given the following transaction records, decide which trades are likely to be classified as blocks. b. Compute the temporary and permanent price effects of two block trades [you can calculate the change in price by using continuous returns, i.e., In(P. Pt-k)]. Date Time Side Trade Price Trade Size (number of shares) 19/07/20XX 10:09 A $9.50 500 19/07/20XX 10:50 B $9.75 115 19/07/20XX 11:35 B $9.80 200 19/07/20XX 12:23 A $9.40 10,500 19/07/20XX 12:50 B $9.65 180 ... ... ... 20/07/20XX 11:35 B $10.08 500 20/07/20XX 12:53 A $10.05 1,000 20/07/20XX 13:14 B $10.55 9,000 20/07/20XX 13:54 B $10.45 450
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