Date of Award


Degree Type


Degree Name

Doctor of Philosophy


Previous studies have found that block trades affect security prices in a different manner than non-block trades. Other studies have shown that certain types of investors may be able to earn excess returns by investing in securities following block trades.;This thesis used detailed trade to trade data to study the efficiency of the Toronto Stock Exchange (TSE), the New York Stock Exchange (NYSE), and the American Stock Exchange (AMEX), with respect to block trades. Comparing the TSE with the U.S. exchanges, this thesis found no difference in the operational efficiency of these exchanges with respect to block trades. As well, this thesis was unable to reject the null hypothesis that all three exchanges were allocatively efficient with respect to block trades.;In studying the price effects of block trades, this thesis identified a number of biases that were present in the methodologies used in previous block trading studies. After correcting for these biases it was found that the temporary price effect of a block trade was less than the expected temporary price effect of a non-block trade for the same security. This thesis did find evidence of a permanent price effect following both block sales and purchases on all exchanges; however, the absolute value of this effect was much smaller than was found in earlier studies.;This thesis also conducted an across-market comparison of block trading price effects for securities listed on the TSE and one of the U.S. exchanges. This comparison found a slightly smaller temporary price effect, suggesting higher liquidity, on the U.S. exchanges; however, it also found a slightly larger permanent price effect for securities listed on the U.S. exchanges. These price effect differences were so small that investors have little incentive to conduct block trades for interlisted securities exclusively on the TSE or on a U.S. exchange.;The results of this thesis illustrate that the use of transactions data, rather than quotation data, in event studies can cause a significant overestimation of price effects and of returns based on short-term trading strategies.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.