The Impact Of Block Trade On Stock Yield

A block trade is a stock transaction in which the number or amount of transactions reaches a certain standard and the buyer and the seller negotiated and confirmed the exchange.The main purpose of the establishment is to meet the circulation needs of domestic large equity holders and institutional investors and to reduce the impact on the secondary market.This particularity makes the block trade closely related to the secondary market from the original intention.Domestic scholars' research on block trades began mainly in 2008.In this year,in response to the large number of “large and small” shares reduced by the share-trading reform,the CSRC issued “guidance opinions”,and the block trading market has been active since then.However,as China's block trading system is still not perfect,more and more problems have emerged and the block trading platform has become a profitable place for many unscrupulous institutions.In response to these problems,the China Securities Regulatory Commission issued the "Comments on the Opinions on Seeking Measures to Optimize the Block Trading Mechanism" in March 2012 to further improve the block trading system.Based on this background,this paper studies the mechanism of the impact of block trading events on the stock price of the secondary market after the release of the “Request for Comments”.On the one hand,it enriches the research results of domestic block trades,on the other hand,it also provides some guidance for investors to invest in large-scale trading targets by in-depth analysis of the impact of block trading events on the secondary market.This paper selects the data of all A shares from March 2012 to December 2018 as the sample,selects the Shanghai Stock Index,the SME Index and the GEM as the corresponding market index,and uses the efficient market hypothesis,liquidity premium theory,information asymmetry theory and liquidity shock hypothesis as the theoretical basis.The empirical method of event research and multiple regression analysis was used to study the impact of block trading behavior on stock prices in the secondary market and analyze the influencing factors.It turns out that block trades have a large impact on stock prices.Buyer-driven and seller-driven block trades exhibit asymmetric price effects.Buyer-driven block trades have a positive impact on stock yields,while seller-driven block trades have a negative impact on stock yields.Then,considering the large-scale transaction in different initiators,different sectors and different periods,the paper analyzes the impact of the factors such as discount rate,relative volume,index yield and information asymmetry on the cumulative excess return rate.The seller-driven block trades before the block trade have no obvious excess returns,but the buyer-driven block trades have higher excess returns.After the block trade,both the buy and sell have a permanent impact on the stock price,but the direction of influence is different.Under the buyer-driven block trade,the bulk transaction target can obtain positive excess returns.The higher the discount premium rate,the larger the relative volume,the higher the index yield and the greater information asymmetry,the higher the excess return rate.Under the seller-driven block trade,the stock price of the block trade continues to decline.The higher the discount rate,the larger the relative volume,the higher the index yield and the degree of information asymmetry,the smaller the cumulative excess return(negative).In the end,this paper proposes the improvement measures that should be taken in response to China's block trading system,namely,improving the information disclosure mechanism for block trades and improving market transparency;improve the block trading system,ensure market stability,strengthen supervision,and reduce market interventions.