| Block trading system is an important part of securities market microstructure theory. Its asymmetric price impact is called "core puzzle" of the market microstructure literature. Because of congenital defects, such as equity division, China’s block trading system has thick police implication features, so a limited impact on the overall stock market. But it does not mean that the research of block trading on Chinese stock market trading make no sense, on the contrary, it improves the existing Chinese stock market with a high significance. Through empirical study we found asymmetric price effects on Chinese block trading system. In this process, by discussing the behaviors of investors and the relationship between information and stock price movements, we learned about the full process of trading, found the transaction process unreasonable and information asymmetric, meanwhile found out the problems of information transmission mechanism and the existence of market manipulation behaviors. By analyzing these microscopic elements together, it helps to guide the construction of a scientific and rational trading mechanism and to provide microscopic references of securities regulatory. This paper is a useful supplement to the market microstructure theory and the research of block trading.This paper mainly focuses on asymmetric price effects of block trading. The empirical analysis shows that the price impact of Chinese securities market asymmetric, the block buys mainly for temporary price effects and block sells for permanent price impact. The phenomenon that shares rose before block sells is likely to be stakeholders increase share prices before transactions. Divided into the plate, on the Shanghai, Shenzhen main board and SMEs, block buys present temporary effects, and block sells show total price effects. GEB reflects the special properties in comparison with other plates, with total price effects of block buys and permanent price effects of block sells. The results also differ in bull and bear market.Asymmetric price impact of block trading on the stock market reflects such problems as the high hidden costs, poor feedback information transmission efficiency, market illiquidity, and the lack of market flexibility and depth. Finally, the paper put forward policy recommendations, such as perfecting block trading mechanism, accelerating the cultivation of institutional investors and strengthening market regulation. |
