The impact of block trades on stock price synchronicity: Evidence from China

Qingbin Meng, Xuan Song, Chunlin Liu, Qun Wu and Hongchao Zeng

International Review of Economics & Finance, 2020, vol. 68, issue C, 239-253

Abstract: We examine the impact of block trades on stock price synchronicity using a unique dataset in China for the period of 2008–2014. We find that block trades are negatively associated with synchronicity. Further analysis indicates that the negative impact of block trades is more pronounced in firms with weaker information environments. An increase in the information content of block trades leads to a significant decrease in synchronicity. We also find that premium block trades contribute significantly more to the reduction in synchronicity than discount block trades. Together, the evidence suggests that block trading activities in China’s stock market help disseminate firm-specific information into stock prices.

Keywords: Block trades; Stock price synchronicity; Information environment; Information content; Premium block trades; Discount block trades (search for similar items in EconPapers)
JEL-codes: G14 G3 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:68:y:2020:i:c:p:239-253

DOI: 10.1016/j.iref.2020.04.009

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