Off‐market block trades: New evidence on transparency and information efficiency

Alex Frino

Journal of Futures Markets, 2021, vol. 41, issue 4, 478-492

Abstract: This paper examines the price impact of off‐market block trades in futures markets. Consistent with previous literature based on stock markets, a statistically significant price reaction is documented around the time that the trades are executed. This paper extends previous work by documenting a further statistically significant price reaction at the time that block trades are later reported. Contrary to previous research, these findings imply that delaying the reporting of off‐market trades has an impact on markets by delaying the speed of adjustment to the information conveyed by block trades and therefore market price efficiency.

Date: 2021
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https://doi.org/10.1002/fut.22180

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:41:y:2021:i:4:p:478-492

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