Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market

Ahmed A. Alzahrani, Andros Gregoriou and Robert Hudson

Emerging Markets Review, 2012, vol. 13, issue 2, 202-209

Abstract: We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005–2008. Using a unique dataset of intraday data consisting of 2.3million block buys and 1.9million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bid–ask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry in the price impact of large trades.

Keywords: Saudi Stock Market; Bid–ask spreads; Block trades; Intraday data (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:13:y:2012:i:2:p:202-209

DOI: 10.1016/j.ememar.2012.02.003

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