Price impact of block trades in the Saudi stock market

被引：15

作者：

Alzahrani, Ahmed A. ^{[1
]}

Gregoriou, Andros ^{[2
]}

Hudson, Robert ^{[3
]}

机构：

[1] Inst Publ Adm, Riyadh, Saudi Arabia

[2] Univ Hull, Sch Business, Kingston Upon Hull HU6 7RX, N Humberside, England

[3] Newcastle Univ, Sch Business, Newcastle Upon Tyne NE1 4SE, Tyne & Wear, England

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2013年 / 23卷

关键词：

Price impact; Block trades; Saudi stock market; Information asymmetry and liquidity; BID-ASK SPREAD; INSTITUTIONAL TRADES; ORDER BOOK; TRANSACTIONS; BEHAVIOR; INFORMATION; EXCHANGE; SECURITIES; VOLATILITY; COMPONENTS;

D O I：

10.1016/j.intfin.2012.11.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the price impact of block trades for all listed firms in the Saudi stock market (SSM) using high frequency data. We find an asymmetric price impact for block trades of 0.5% for block purchases and -0.38% for block sales. However, on average, the price effect of a block trade is small and short-lived suggesting that resiliency is high in the market. Moreover, we find a direct relationship between the size of the trades and the level of information asymmetry. The intraday pattern of price impacts is similar to patterns documented in other markets, namely an inverse J-shaped pattern. Finally, sophisticated traders can gain abnormal profits through "free riding" benefiting from overreaction before and price reversals after block trades. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：322 / 341

页数：20

共 47 条

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