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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 |
| Issue 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: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 1007[1].pdf | 380.31 kB | Adobe PDF | View/Open |
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