| In recent years, with the development of China's securities market and the increase of the number of institutional investors, the demand of large transactions is more and more, thus investors have a higher requirement of the market efficiency, and the setting up of the block trading system is to meet the needs of institutional investors. As a special block trade transaction system, it is supplementing the common trading system. Ordinary trading system will have a greater transaction costs and the share price will be affected, so the stock market use block trading system. Block trading transaction will be divided into large trading block trading buy and sell based on block trading transactions and premium discount. Since Western scholars study on the micro structure theory of financial markets and the block trading system a long time, both theoretical and empirical research is quite rich. But in China, the block trading system was established a short time, the lack of relevant theoretical research and empirical research literature. Therefore, studying the influence of block trading on stock prices is important. This paper studies the problem as follows:Whether the occurrences of block trading have an impact on the stock price? Bulk buying and selling bulk have any different effect on the stock price? What factors affect the price effect of large transactions?For the above reasons, by reading literature and summarize, then select the sample data to conduct empirical research, to study the stock price changes before and after the block trading using event study and regression analysis. The paper is organized as follows:Chapter 1 is the introduction part, which introduces the research background, ideas and innovations research questions, research issues and the significance of the article. Chapter 2 is the literature review section, which describes the theoretical and empirical research results of large transactions, and the existing literature reviewed in this article. Chapter 3 is block trading concepts and development status. This section describes the block trading theories, concepts, and the bulk of trading mechanisms, and introduces the development process and the status quo of block trading. Chapter 4 is the study sample and data processing unit, which provides information on the sample and data processing methods studied selected. Chapter 5 is the block trading empirical research on the stock price. This part of the paper study Short-term impact and long-term effects of the block trading on the stock price, we also consider the premium and discount block trading, Bull and Bear and environmental factors such as different sections, and validate the relevant assumptions. Chapter 6 is the influencing factors of block trading price effects. The part study the factors influencing the price effect of block trading, we analyze of the volume, discount or premium rate, turnover, Bull and Bear and different sections of other factors. Chapter 7 is the conclusion, which gives conclusions and deficiencies of the paper.Based on the distinction between the bulk buy and sell on the basis of the bulk, this paper analyzes the impact of discounts and premiums block trading block on stocks price under the different market environment. We first proposed three hypotheses. Hypothesis H1:block trading has an impact on the stock price; Hypothesis H2:bulk purchasing make price increase, have permanent effects on stock prices; Hypothesis H3:selling bulk bringing prices down, resulting in a temporary impact on stock prices. We use event study method to verify the three assumptions. The conclusions as follow are:In recent years, with the development of China's securities market, an increase in the number of institutional investors, the demand for more and more large transactions, so investors a higher market efficiency requirements, and block trading system is to meet demand for institutional investors and set up.The bulk of trading as a special trading system is a special trading system. Is the cause of the block trading system of the ordinary trading system will cause the transaction cost and the price will be affected greatly. Block trading discount and premium according to the transaction will be sold for large transactions between large transactions buying and trading. The research of western scholars on the financial market microstructure theory and commodity trading system over a long period of time, theoretical research and empirical research are quite rich, but China's block trading system to establish a short time, the relevant theoretical research and empirical research literature is less. So the study on commodity trade has important significance impact on prices. This paper mainly studies the problem: bulk transactions impact on stock prices, bulk buying and sold the bulk of the impact on stock prices have similarities and differences, what factors affect the price effect of the bulk of the transaction?Based on the above reasons, by reading the literature at home and abroad are summarized, and then select the sample data for empirical research, to study the changes of stock price traded before and after the use of event study and multiple regression analysis. This paper is structured as follows:the first chapter is the introduction part. This part introduces the research background, research questions, the significance and the ideas and innovations. The second chapter is the literature review part, this part introduces the domestic and foreign large transactions from theoretical and empirical research, and the existing literature were reviewed. The third chapter is the related concept and the development status of block trading. This part introduces the related concepts and theories, the bulk trading block trading mechanism, and introduced China's development process and the status quo of large transactions. The fourth chapter is the research sample and data processing department. This section describes the sample and data processing method in this study. The fifth chapter is the empirical research on the influence of block trading on stock price. Influence of the parts to study the premium and discount large transactions, bull and bear market environment and under the condition of different plate block trading on the stock price of permanent and temporary, and verify the hypothesis. The sixth chapter is the study on the influencing factors of the bulk of the transaction price effect. This part studies the influencing factor of commodity trading price effect, analysis of the volume, discount and premium rate, turnover rate, bull and bear market and different plate etc.. Chapter 7 is the conclusion, the part gives conclusions and deficiencies of the article.Based on the distinction between bulk buying and sold the bulk on the research and analysis of the premium large transactions and discount large transactions on the effects of different stocks in different market environment. We first propose three assumptions, assuming that H1:block trading impact on the stock price; H2 hypothesis:bulk buy prices, have permanent effects on the stock price; H3 hypothesis:sold the bulk price decline, have a temporary impact on the stock price, we through the event study method, three hypotheses are as follows. Conclusion:Without considering the discount and premium transactions, both as a whole block trading on stock price found that large transactions has effect on stock price, but also a permanent effect. For bulk buying in bulk transactions, stock price abnormal fluctuation; occurs in large transactions, no stock abnormal fluctuations, influence of block trading is a permanent effect. For bulk sold, in the cases occur before the stock abnormal fluctuations, large transactions occurred after the stock does not exist abnormal fluctuations, sold the bulk of the impact on stock prices is permanent. Bulk buy has a permanent effect on stock prices in the bull market; but in the bear market environment, only a temporary impact on the stock price. The bulk sold in the bull market, causing permanent influence on the stock price; in the bear market environment, sold the bulk has a permanent effect on stock prices. For bulk buying, Shenzhen board, small board and gem stock price by the permanent effect, sold the bulk of the Shanghai and Shenzhen main board and gem as a temporary effect, while the small board as a permanent effect. |
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