Does Block Trading Affect Stock Prices? Evidence from the A-Share Market

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Journal of Central University of Finance & Economics ›› 2019, Vol. 0 ›› Issue (10) : 41-52.

JIANG Yu, JIANG Yong

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Abstract

With the continuous development of the block trading system and the rapid expansion of the block trading size,the block trading has attracted more and more attention from investors.Using the data of the A-share market from 2014 to 2017,this paper empirically investigates the effects of block trading on stock prices.Results indicate that (1) the premium or discount rate of block trading price has significant positive effects on the short-term abnormal return; (2) the effects of premium or discount rate on short-term abnormal return is enhanced when institutional investors buy at a premium or sell at a discount and the effects of premium or discount rate on short-term abnormal return is weakened when institutional investors buy at a discount or sell at a premium; (3) the higher the proportion of block trading volume,the better the liquidity of stock,or the higher the transparency of corporate information,the higher the effects of premium or discount rate on short-term abnormal return; (4) the premium or discount rate has negative effects on the long-term abnormal return.Further studies show that the effects of block trading on the abnormal return vary with different levels of premium or discount rate,different market trends,and different trading boards.Our studies are helpful for investors to rationally make investment decisions and provide certain references for regulatory authorities to maintain market order.

Key words

Block trading / Premium or discount rate / Abnormal return / A-share market

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JIANG Yu, JIANG Yong. Does Block Trading Affect Stock Prices? Evidence from the A-Share Market[J]. Journal of Central University of Finance & Economics, 2019, 0(10): 41-52

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