This paper investigates whether block trades in European cross-quoted securities executed on the London Stock Exchange's SEAQ-I market produce any price and volatility impacts on the securities' home markets. The diverse market microstructure designs in use in the home markets are employed to assess whether price impacts vary from one trading system to another. It is found that the price impact in the home markets starts materialising before the large trade is executed on SEAQ-I (implying that substantial pre-positioning takes place by London market makers through the home markets). The new equilibrium price on the home market is reached approximately 1 hour after the SEAQ-I's trade execution. In addition, large trades on SEAQ-1 are found to cause higher volatility in auction trading systems (Milan Stock Exchange and Paris Bourse) than in a hybrid trading system (German Börse's IBIS system).
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