The Exploring Of The Block Trade Spreads In Our Capital Market

In recent years, China’s capital market has been rapid development, meanwhile,the block trading market--as an important part of market, its’ annual trading volume has also increased.According to the latest block trade data,It shows that in2013, there were about more than18,000block trades which occured in the Shanghai and Shenzhen market. Separately,more than16,000trades in Shenzhen,and about2,000in Shanghai.This shows that the shenzhen block trade market is more active than Shanghai.At the same time,as to the block tradevolume,there are more than13.8billion shares reaching a deal in Shenzhen and more than10.4billion bucks in Shanghai in2013.Although,the items of block trade in Shanghai is less than Shenzhen,the volume was comparable with Shenzhen. From the tumover,the Shanghai equity trading bulk of its full-year turnover is about90.9billion yuan,compared with160billion yuan in Shenzhen.From these datas,we can see that the bulk of China’s equity market is growing rapidly.Meanwhile through observation,we found that the bulk of the transation price is often different from with closing prices of continuous acution market.It shows that the phenomenon of disscount or premium is existing.But according to the stock pricing theory,the stock price should be the same. So some scholars began to study these phenomenons and their focus was to analyze the protocol block trades.At last,they found the control of effect、liquidity compensation effect and other reasons led to the discount、premium.However,there are a defect in their study.That is their samples are more specific,which is very different with the block trades today.Because at this present times,our shares has been completely tradable,non-tradable shares transfer agreement does not exist. Therefore,there is a big different with the bulk of transactions in the past.Besides that,the CSRC new policy in2008about the block tardes promoted the frequency of large transactions.Therefore, this paper,based on the occurrence of these phenomena,make the decision to study the block trades and found the reasons why the block trading spreads exist in the last five years.This paper select block trades data form2008-2012as a sample and multiple linear regression modelto empirical analysis.Eventually we found the cause of the spread is whether belonged to mainboard, dominated by the same agency,the overall market conditions,the proportion of the bulk ofthe total market capitalization of the stock exchange turnover,turnover accounted forthe bulk ofthe stock trading day turnover,the stockmarket capitalization ratio of the total market capitalization of the stock, the ratio oftotal capitalstockoutstanding shares ofthe capitalstockaccounted for, the bulk of trading volume accounted for the presence of a large proportion of the relationship between these factors,the stock trading volume that day.And on this basis they were on discount and premium on the empirical analysis, and gives it to explain why.