Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market
AbstractWe 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 2.3million block buys and 1.9million 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 13 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620356
Saudi Stock Market; Bid–ask spreads; Block trades; Intraday data;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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