| dc.description.abstract | Theories of market microstructure suggest that large transactions can reveal information and
hence impact prices. Extensive research finds support for such a price impact. However, we
are not aware of any similar studies at Oslo Stock Exchange (OSE). Other studies have
typically been conducted at hybrid markets, e.g. New York Stock Exchange, where there are
specialists that facilitate trading. OSE, on the other hand, is a fully electronic limit order
market, thus the price dynamics may be different. The implication of a price impact for a
trader who plans to submit multiple orders in a stock is that the first trades affect the price of
the later trades.
We analyze the temporary and permanent impact on security prices from large buy-initiated
and sell-initiated transactions. We find that large trades are associated with significant price
impacts 5 seconds and 10 minutes after the transactions for most of the stocks in the sample.
There are significant intraday differences in the estimated price impacts. Furthermore, we
study the aggregated difference between buy-initiated and sell-initiated turnover, i.e. order
flow. We analyze a model where returns over 15 minute intervals are explained by the past
order flows. Normalized order flow has a significant effect on returns, but it explains little of
the variance. | no_NO |
