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The impact of block trades on stock price synchronicity: Evidence from China

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  • Meng, Qingbin
  • Song, Xuan
  • Liu, Chunlin
  • Wu, Qun
  • Zeng, Hongchao

Abstract

We examine the impact of block trades on stock price synchronicity using a unique dataset in China for the period of 2008–2014. We find that block trades are negatively associated with synchronicity. Further analysis indicates that the negative impact of block trades is more pronounced in firms with weaker information environments. An increase in the information content of block trades leads to a significant decrease in synchronicity. We also find that premium block trades contribute significantly more to the reduction in synchronicity than discount block trades. Together, the evidence suggests that block trading activities in China’s stock market help disseminate firm-specific information into stock prices.

Suggested Citation

  • Meng, Qingbin & Song, Xuan & Liu, Chunlin & Wu, Qun & Zeng, Hongchao, 2020. "The impact of block trades on stock price synchronicity: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 239-253.
    • Handle: RePEc:eee:reveco:v:68:y:2020:i:c:p:239-253
    DOI: 10.1016/j.iref.2020.04.009
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    More about this item

    Keywords

    Block trades; Stock price synchronicity; Information environment; Information content; Premium block trades; Discount block trades;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G3 - Financial Economics - - Corporate Finance and Governance

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