Research On The Impact Of Block Trading On Stock Prices

At present,there are three main trading methods in China's A-share market,namely auction trading,credit trading,and block trading.Block trading is a special trading mechanism of the securities trading market.It is formulated as an effective supplement to the mainstream trading mechanism according to a specific demand..China's stock market started late,and in the early days of the market's establishment,investors were mostly small and medium investors,and transactions were mainly small stocks.With the rapid development of the stock market,the continuous expansion of the transaction scale,the proportion of institutional investors has gradually increased,and the market's demand for large stock transactions has become increasingly strong.Against this background,the Shanghai and Shenzhen Stock Exchanges have established block trading systems and formulated Relevant rules provide a standardized platform and channels for large stock transactions.Stock block trades have the characteristics of large transaction scale,negotiated transaction prices,special identity of both parties,and specific trading venues.Especially,the transaction information is released in the form of announcements.These characteristics easily cause investors to pay attention to block trades.So,will the occurrence of block trades and their transaction information have an impact on investors' investment decisions,and then the stock price? In this context,this article conducts research and selects the stocks in China's A-share market from January 2014 to December 2017 as the research object.Theoretical analysis and empirical tests are used to study whether the bulk trading will affect the stock price.The results show that block trades have an impact on stock prices.Specifically,the discount premium rate of the block trade price has a significant positive impact on the short-term excess return of the stock.The greater the deviation between the block transaction price and the closing price,that is,the greater the discount premium rate,the greater the impact on investors.The larger the increase or decrease in the stock price,the higher the positive or negative excess return;when institutional investors buy at a premium or sell at a discount,the discount premium rate has a stronger impact on shortterm excess returns,and institutional investors discount When buying or selling at a premium,the effect of the discount premium rate on short-term excess returns is weakened;the higher the proportion of block transactions,the more significant the discount premium rate is on the short-term excess returns;the better the stock liquidity or the company's information transparency The higher the discount premium rate,the stronger the impact on short-term excess returns;the discount premium rate's impact on long-term excess returns on stocks will reverse.Further research finds that under the circumstances of different discount premium levels,different market trends,and different trading sectors,the effects of block trading on the excess returns of stocks are different.Under different discount premium levels,the discount premium rate of block trades has a significant positive impact on the shortterm return of the stock.Among them,the transaction price is the most significant when the premium is the highest,the second is the impact when the discount is the highest,and the impact is the lowest when the discount is the lowest.In terms of revenue,in the transaction where the transaction price is a discount,the positive effect of the block discount premium rate on the stock return reverses,but in the transaction where the transaction price is a premium,the discount premium rate and the long-term excess return of the stock still show positive Correlation,but not significant;under different market trends,the discount rate of block trades has a significant positive impact on short-term stock returns,of which the impact is greatest in the rising phase of the market,followed by the decline in the trend,and stable The impact of this stage is the smallest.For long-term excess returns,the positive impact of the discount rate on block trades on stock returns reverses during the period when the market trend declines and is stable.There is no reversal of positive effects;in different trading sectors,the discount rate of block trades on the short-term returns of stocks are equal.Significant positive impacts,among which block trades have the largest impact on GEM stocks,followed by main board stocks,and the smallest impact on small and medium board stocks.For long-term excess returns,the discount premium rate has exceeded the main board and small and medium board stocks.The positive impact of earnings has reversed,but the discount premium rate and the excess returns of GEM stocks still show a positive correlation.