Research On The Stock Price Effect Of Block Trading

Block trading is set up to meet the circulation needs of the major equity holders and the institutional investors,alleviating impact on the secondary market.This particularity makes it closely related to the secondary market from the original intention of the establishment.Domestic scholars’ research mainly focuses on the transfer of non-tradable shares on the block trading platform caused by the split share structure reform.With the completion of the split share structure reform,the CSRC formally abolished “guidance” and further reduced the threshold of block trading in 2014,which means that the main body of the transaction in the block trading market has changed.Based on this background,this paper studies the mechanism of the stock price effect of block trading under the new policy.On the one hand,this paper enriches the domestic research results of block trading,and provides theoretical support for improving the operation efficiency of the securities market;On the other hand,it analyzes the information transmission mechanism between the two markets,which contributes to improve the information asymmetry of the securities market and promotes the healthy development of the capital market.We selected the block trading events as the sample from April 15,2014 to April 15,2016,and applied the event study method to test the stock price impact of block trading,and drew the following conclusions:(1)Block trading has a significant impact on the stock price,and the stock price impact of block buying is more obvious in the short term,while the stock price reaction to the block selling is longer;(2)The stock price impact in the bull market is greater than that in the bear market,block selling in the bear market has a greater impact on short-term stock prices;(3)The block buying of institutional seats trading has a greater impact on the stock market than the non-institutional seats;(4)The short-term price of stock market is more responsive to the block trading in the β-higher industry;(5)The block trading events of GEM have a greater impact on the stock prices.In addition,this paper further studies the factors that influence the price reaction of the block transaction,and gains the following results:(1)The level of discount premium and the relative volume of block trading are significantly positively correlated with the short-term cumulative abnormal returns after the block buying.(2)The level of discount premium and the relative volume of block trading were not significantly correlated with the cumulative abnormal returns after the block selling.Finally,this paper puts forward some policy proposals: increasing the popularity of rational investment knowledge,strengthening the supervision of the securities market,reducing the threshold of block trading,and encouraging more institutional investors to participate in.