Surveying Price impact of block trades in the Iran stock market

Document Type : Research Paper

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Abstract

The main purpose of this study, is surveying the factors that affect Price Impact of block Trades in the stock market. For this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in Tehran Stock Exchange, that have block trade during the period 1390 to 1392. In this paper, total, temporary and permanent price impact is used as dependent variables, and the size of block trade, stock price volatility, trading turnover, market return, momentum and Bid-Ask Spread are used as explanatory variables. The results show that the relationship between turn over, Market return and Bid-Ask Spread with three dependent variable (total, temporary and permanent price impact) are significant. Also the relationship between size of block trade with total, permanent price impact, the relationship between Volatility of stock price with total, temporary price impact and, the relationship between momentum with temporary price impact are significant.

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References

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Financial Research Journal
Volume 18, Issue 1
April 2016
Pages 23-38

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