A Study On The Investment Opportunity Behind The Block Premium Trade In Stock Market

Block trade refers to the securities of a single sale to declare the minimum limit,and buyers and sellers after agreement to reach an agreement and the trade to determine the trade of securities transactions.Block premium trading for three reasons: the first,the buyer in advance to grasp a good information,and the current stock price does not respond to the information.Second,the transfer of control of listed companies.Institutional investors through the premium transferee equity,get a certain right to speak.Third,the two sides use the premium gimmick to confuse investors mistakenly believe that good news,so that investors raise the stock when the stock.Based on the first and second reasons for the occurrence of the block premium trade,the underlying stock market price of the next day should be a good performance,investors follow the purchase of these stocks,then,will get more than the average performance of the market yield.As the number of block premium trades occurred before 2008 is very small,in this paper,we use the incident research method to analyze all the block premium trades occurred during the period from January 1,2008 to December 31,2016,and calculate the accumulated absolute gains and accumulations after the occurrence of the block trades excess returns,we found that when the trades share accounted for more than 10%,the block premium trades have significant excess rate of return.On this basis,the study of the underlying stock premium rate,trades share and the stock market price changes in the future relationship between the two,the test found that the high price of the underlying stock in the selected time window cumulative excess rate of significant The excess return rate of the short-term and long-term holdings of the short-term and long-term holdings of the investors are significantly greater than those of the latter;the cumulative excess returns of the high-volume stocks are significantly higher than those of the stock The trades accounted for the proportion of the stock value of the stock,investors in the next day to close at the closing price to buy the former short-term excess rate of return was significantly greater than the latter.Therefore,werecommended that individual investors track higher-than-premium returns on the secondary market by buying a large premium-priced share of more than 5% of the premium and trading 40% of the premium.