RT Generic
T1 Information transmission around block trades on the Spanish stock market
A1 Martínez, Miguel Ángel
A1 Tapia, Mikel
A1 Yzaguirre, J.
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB 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 oftransactions 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 marketstill 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 notthe 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 inreturns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component.
YR 1998
FD 1998-11
LK https://hdl.handle.net/10016/6531
UL https://hdl.handle.net/10016/6531
LA eng
DS e-Archivo
RD 19 may. 2024