Information Transmission around Block Trades on the Spanish Stock Market

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Mostrar el registro sencillo del ítem Martínez, Miguel Ángel Tapia Torres, Miguel Ángel Yzaguirre, J. 2010-03-08T11:59:55Z 2010-03-08T11:59:55Z 2005-02
dc.identifier.bibliographicCitation Applied Financial Economics, february 2005, vol. 15, nº 3, p. 173-186.
dc.identifier.issn 1466-4305 (electronic)
dc.identifier.issn 0960-3107 (paper)
dc.description.abstract This study investigates the informational effects of large transactions, or Block Trades (BT), in the Spanish Stock Exchange (SSE). In the open market period, this topic was not facilitated in the SSE as it was in other markets until 1998. The SSE thus provides a special environment for analysing the information transmission of these specific transactions. It is assumed that information can be better reflected by changes in true asset value, proxied by the midpoint of bid-ask best quotes. Therefore, we will look at changing true asset value orders instead of trades. Three different effects are studied around BTs: price, liquidity and information transmission. To capture them, three different endogenous variables are considered: true asset returns, relative spreads and adverse selection spread component. With this approach, no clear effects of BTs are found. The main result of the study is that there seems to be an increase in information asymmetries when one looks at the adverse selection spread component in some of the different subsample classifications (buyer, seller and sweeping BT), but there is no significant permanent effect on returns. This result could be related to insiders trading in the market. In sharp contrast with adverse selection evidence, a temporary decrease in bid/ask spread around BTs is also observed. These changes reflect temporary liquidity effects related to other spread components (order processing costs and inventory costs).
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Taylor & Francis
dc.title Information Transmission around Block Trades on the Spanish Stock Market
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.identifier.doi 10.1080/0960310042000306952
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 173
dc.identifier.publicationissue 3
dc.identifier.publicationtitle Applied Financial Economics
dc.identifier.publicationvolume 15
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