Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market

被引：8

作者：

Alzahrani, Ahmed A. ^{[2
]}

Gregoriou, Andros ^{[1
]}

Hudson, Robert ^{[3
]}

机构：

[1] Univ Hull, Hull Univ Business Sch, Kingston Upon Hull HU6 7RT, N Humberside, England

[2] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[3] Newcastle Univ, Sch Business, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England

来源：

EMERGING MARKETS REVIEW | 2012年 / 13卷 / 02期

关键词：

Saudi Stock Market; Bid-ask spreads; Block trades; Intraday data; TRANSACTIONS; LIQUIDITY; BEHAVIOR; UPSTAIRS;

D O I：

10.1016/j.ememar.2012.02.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005-2008. Using a unique dataset of intraday data consisting of 2.3 million block buys and 1.9 million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bid-ask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry in the price impact of large trades. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：202 / 209

页数：8

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