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On Liquidity around Large-Block Trades: Upstairs Trading Mechanisms, Price Impacts and Common Factors Chwen Chwen Chen Submitted for the degree of Ph.D. in Economics University of Lugano, Switzerland Accepted on the recommendation of Prof. G. Barone-Adesi, University of Lugano Prof. F. Degeorge, University of Lugano Prof. M. Murgia, University of Bolzano November 2004 To my parents, Pie’ and Tommino. 1 In ogni schema ordinato tendente a comporre il modello della vita umana µe necessario introdurre una certa dose di anarchia. Russell Bertrand, Scritti ¯loso¯ci Tutto µe questione di misura. Anonimo 2 Acknowledgments Manypeople deserve my thanks for their part in creating this thesis. I am grateful to profes- sors of my committe for their comments and suggestions to improve my dissertation. I would like to thank professor Giovanni Barone-Adesi, my supervisor, for his encouragements and guidance through my PhD program. His humanity and his understanding of problems helped me to acquire alternative perspectives of doing research. I would like to thank professors Francoise Degeorge and Maurizio Murgia for their suggestions. I am especially grateful to professor Maurizio Murgia for providing helpful insights and vision that improved the quality of my work. I would also like to thank professor Aditya Kaul at the University of Alberta in Canada and professor Giulio Cifarelli at the University of Florence in Italy, who has been highly supportive over the years of my PhD program. My sincere thanks go to Simona Cain-Polli for her work as editor. She improved my English increasingly. Financial supports from the Gamma Foundation in Lugano in Switzerland, and Fon- dazione Cesi¯n “Alberto Predieri” in Florence in Italy, are gratefully acknowledged. Many thanks to Borsa Italiana (the Italian Exchange) for providing me with the data used in this dissertation, in particular Luca Filippa, Mauro Medizza and Concetta Ricciardi. Mauro Medizza is helpful for providing insights about block trading at the Italian Exchange. I am indebted to the following: Fulvio Corsi, Andrea Gigli, Loriano Mancini, Claudio Ortelli, Angelo Ranaldo, Paolo Schmidt, Paolo Tenconi and Ombretta Terazzan. I am in particular grateful to Andrea Gigli and Ombretta Terazzan. Ombretta deserves a special mention for her great patience. I would like to thank my collegues of the PhD program for making my lifetime in Lugano funny and enjoyable, most especially Francesca Bellini and Ombretta Terazzan. My gratitude goes to my friends of the Peace Camp, in particular Giuliana Tiripelli, Maria Forzieri and Rosanna Masci for their constant encouragement and support. i
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