| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963414 | Journal of International Financial Markets, Institutions and Money | 2013 | 20 Pages |
Abstract
⺠We examine the price impact of block trades in the Saudi stock market using high frequency data. ⺠We find an asymmetric effect with block sales and block purchases having different impacts. ⺠We find a direct relationship between the size of trades and the level of information asymmetry. ⺠The intraday pattern of price impacts forms an inverse J-shaped pattern. ⺠Traders can profit from acting on overreaction before and price reversals after block trades.
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Economics and Econometrics
Authors
Ahmed A. Alzahrani, Andros Gregoriou, Robert Hudson,