Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5058
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dc.contributor.authorAlzahrani, AA-
dc.contributor.authorGregoriou, A-
dc.date.accessioned2011-04-18T11:17:50Z-
dc.date.available2011-04-18T11:17:50Z-
dc.date.issued2010-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 10-07en_US
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/5058-
dc.description.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 2.3 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.en_US
dc.language.isoenen_US
dc.publisherBrunel Universityen_US
dc.subjectSaudi stock marketen_US
dc.subjectBid-ask spreadsen_US
dc.subjectBlock tradesen_US
dc.subjectIntraday dataen_US
dc.titleCan market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock marketen_US
dc.typeWorking Paperen_US
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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