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SUMMARY:Off-Market Block Trades\, Transparency and Information Efficiency:
  New Evidence from Futures Markets - Alex Frino (University of Wollogong\,
  Australia)
DTSTART:20190502T113000Z
DTEND:20190502T123000Z
UID:TALK121672@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:Alex Frino\nUniversity of Wollongong\n\n\nOff market trades ar
 e transactions in securities markets which are executed away from the main
  market and later reported to the market.  Off market trades are a recent 
 phenomenon in futures markets and while there is a rich body of literature
  analysing off market trading in equities markets\, this is the first stud
 y to analyse off market trading in futures markets.  This issue is particu
 larly topical\, as the Chicago Mercantile Exchange introduced off-market t
 rading for commodity futures in January 2018 which generated significant d
 ebate about the impact of the lack of transparency they create (Parking\, 
 April 8 2018\, Wall Street Journal).   In this paper\, we examine the pric
 e impact of off market trades at the time they are executed and the time t
 hey are later reported to market.  We find a statistically significant pri
 ce reaction both around the time they are executed and the time they are l
 ater reported.  We conclude that the market learns from trading around the
  off-market trade and impounds some of the information conveyed by the tra
 de at the time they are executed.  Given that the market reacts significan
 tly at the time the trades are reported\, suggesting that the reporting of
  the trades conveys information to the market\, we conclude that delaying 
 reporting of trades has an impact on market price efficiency.  These findi
 ngs contrast to findings for equities markets which conclude that the with
 holding of trade information has no impact on the speed of adjustment of t
 he market to the information conveyed by the off-market trade (Gemmill\, 1
 997\, Journal of Finance).\n
LOCATION:Room W4.03 Cambridge Judge Business School
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