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dc.contributor.authorAlzahranai, AA-
dc.contributor.authorGregoriou, A-
dc.contributor.authorHudson, R-
dc.contributor.authorKyriacou, K-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 10-16en_US
dc.description.abstractThis paper examines the price impact of block trades for the 124 companies that comprise all listed firms in the Saudi stock market (SSM). We use high frequency intraday data (one minute intervals) for the period 2005-2008 to provide out of sample evidence of the determinants of price impact. We find an asymmetric price impact of 0.5% for block purchases and -0.38% for block sales. We document a price continuation post block trades and a price reversal after block sales. Sellers of block trades in the Saudi market pay higher liquidity premiums than buyers of block trades. However, on average, the price effect of a block trade is small and short-lived suggesting that resiliency is high in the market. Moreover, we find a direct relationship between the size of the trades and the level of information asymmetry in the market. Despite the structural differences of the SSM, the intraday pattern of price impacts is similar to patterns documented in other markets, namely an inverse J-shaped pattern. Finally, sophisticated traders can gain abnormal profits in the SSM through “free riding”, a trader can benefit from the overreaction before the block trade and price reversal after the block trade.en_US
dc.publisherBrunel Universityen_US
dc.subjectPrice impacten_US
dc.subjectBlock tradesen_US
dc.subjectSaudi stock marketen_US
dc.subjectInformation asymmetry and liquidityen_US
dc.titlePrice impact of block trades in the Saudi stock marketen_US
dc.typeResearch Paperen_US
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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