Chinese Stock Market Block Trade Characteristics And Information Feedback Problem Research

Chinese stock market set up the block trading system in2002, the block trading has been not active enough at the early stages. While on April2008, the Chinese government promulgated a file about restricted shares holdings which rule that when restricted shares reach a certain number of the expected reduction scale, reduction of restricted shares must be through the block trading market. After that, block trading market in our country has been achieved a substantial development. Based on China’s stock block trading market and bulk trading system development, This paper use the sample on large transactions of China A-share market in the Shanghai Stock Exchange which occurred in2003-2011to analyzes the characteristics of China’s the bulk stock market trading. This paper also makes some empirical research on the information content of large transactions about China’s stock market by employing sub-parametric tests and methods of portfolios-constructing.The results show that, for the seller-initiated trades, block trade information in advance has been leaking out; After the block trading, the market overall reaction is negative, but the market this kind of negative reaction in statistical sense not significantly, and the seller do not have information advantage. For the buyer-initiated trades, manipulating share prices before trading; After block trading, the market in a few trading days has positive reaction, block trade in the short term has certain information advantage. Then, according to the empirical results of this paper, the author puts forward three policy Suggestions, to strengthen the block trading market supervision and management; to perfect China’s major trading system, absorb more institutional investors into the block trading market; the relevant departments to strengthen education and guide of ordinary investors.