This article extends previous literature which examines the determinants of the price impact of block trades on the Australian Stock Exchange. As previous literature suggests that liquidity exhibits intraday patterns, we introduce time of day dummy variables to explore time dependencies in price impact. Following theoretical developments in previous literature, the explanatory power of the bid-ask spread, a lagged cumulative stock return variable and a refined measure of market returns are also examined. The model estimated explains approximately 29 per cent of the variation in price impact. Block trades executed in the first hour of trading experience the greatest price impact, while market conditions, lagged stock returns and bid-ask spreads are positively related to price impact. The bid-ask spread provides most of the explanatory power. This suggests that liquidity is the main driver of price impact.Large or 'block' transactions play a major role in trading on stock exchanges worldwide. Nearly half of the trades on the NYSE are made in blocks of 10,000 shares or more. Jain (2003) claims that institutional activity, which is predominantly made up of block transactions, accounts for over 70 per cent of all trading activity. The significant quantity of block trades has led to substantial research in the area. Most examines the price impact of block trades, where price impact is measured by comparing the transaction price to an unperturbed price that would have prevailed if the trade were not executed. 1 The causes of price impact are also addressed in the literature. In particular, this has centred on explaining the magnitude and variation in price impact.

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This paper examines, using proprietary ASX data containing institutional holdings, if institutional investors exit en mass prior to announcements of financial distress. Evidence indicates that while some institutional investors exit the stock, the withdrawal is gradual, commencing approximately 115 days prior to event. This is driven by active institutional investors reacting to the release of the financially distressed companies' last publicly released financial reports. There is no significant decline in institutional holdings before announcements; most institutional investors hold financially distressed shares through to failure. There is evidence that the lack of disclosure drives the increase in information asymmetry prior to company failure.

and had a scholarship from the Sydney Futures Exchange throughout her candidature. She graduated with first class honours in finance from the University of Sydney in 2004 (BCom, Hons). She currently works as an associate analyst at Deutsche Bank in Sydney.

This study is the first to examine the intraday behavior of quoted depth in a competitive dealer market. In sharp contrast to previous research that focuses on specialist markets, quoted depth is lowest at the open of trading, plateaus around the middle of the day, and then dramatically increases in the final hours of trading, peaking at the close. This peak in quoted depth coincides with a narrowing in bid-ask spreads, and is contrary to intraday patterns documented for specialist markets. The authors conclude that the increase in depth and narrowing of bidask spreads at the close is driven by dealers rebalancing inventories to achieve target inventory levels in a competitive market.