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.
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                                  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
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        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.
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