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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5058

Title: Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market
Authors: Alzahrani, AA
Gregoriou, A
Keywords: Saudi stock market
Bid-ask spreads
Block trades
Intraday data
Publication Date: 2010
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 10-07
Abstract: 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 bidask 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.
URI: http://bura.brunel.ac.uk/handle/2438/5058
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

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