Publication: Information transmission around block trades on the Spanish stock market
Loading...
Identifiers
Publication date
1998-11
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
Current fmancial research is placing increasing attention on the effects of large transactions, or Block Trades (BT), on the fmancial markets. In order to analyze whether BT transmit information, we assume that information can be better reflected by changes in asset true value, proxied by the midpoint of bid-ask best quotes, instead of
transactions prices or returns. Moreover, following market microstructure literature, we also look at changes in relative spread and in their adverse selection component. The Madrid Stock Exchange offers us a particularly appropriate testing ground for examining these issues, since this topic has not been facilitated as in other markets
till 1998. We analyze 195 BT, classified according with trading volume, the side of the market initiating the BT (buyer,
seller or indeterminate initiated), its type (inside the spread, sweeping or not classified) and if they change or not
the asset true value. The main result of the paper is that it seems that there is BT information transmission when we look at adverse selection spread component in the different subsample classification, but there is no significant permanent effect in
returns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component.