Surveying Price impact of block trades in the Iran stock market

Document Type : Research Paper



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.


Main Subjects

Alzahrani, A. A., Gregoriou, A. & Hudson, R. (2013). Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market. Emerging Markets Review, 13(2): 202- 209.
Alzahrani, A. A., Gregoriou, A. & Hudson, R. (2013). Price impact of block trades in the Saudi stock market. Journal of International Financial Markets, Institutions & Money, 23(1): 322- 341.
Bian, J., Wang, J. & Zhang, G. (2012). Chinese block transactions and the market reaction. China Economic Review, 23(1): 181- 189.
Bouchaud, J. P. (2009). Price impact. Capital Fund Management, 13(1): 397-419.
Brockman. P., Chung. D. & Yan, X. (2009). Block ownership, trading activity, and market liquidity. Journal of Financial and Quantitative Analysis, 44(6): 1403– 1426.
Chen, J. & Chen, D. (2005). The effect of block trades on share price: Australian evidence. The International Journal of Finance, 17(4): 3788- 3805.
Chen, J. C. (2005). On liquidity around large-block trades: Upstairs trading mechanisms, price impacts and common factors, PhD Thesis, University of Lugano, Switzerland.
Chiyachantana, C. N., Jain, P. K., Jiang, C. & Wood, R. A. (2004). International evidence on institutional trading behavior and price impact. The Journal of Finance, 59(2): 869- 898.
Chou, R. & Wang, G. H. K. (2011). The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan futures exchange. Pacific-Basin Finance Journal, 19(1): 41- 70.
Fan, L., Hu, B. & Jiang, C. (2012). Pricing and information content of block trades on the Shanghai stock exchange. Pacific-Basin Finance Journal, 20(3): 378- 397.
Frino, A. E., Jarnecic, D., Johnstone, A. & A. Lepone. (2005). Bid-ask bounce and the measurement of price behavior around block trades on the Australian stock exchange. Pacific Basin Finance Journal, 13(3): 247- 262.
Frino, A., Jarnecic, E. & Lepone, A. (2007). The determinants of the price impact of block trades: Further evidence. Abacus, 43(1): 94– 106.
Frino, A., Mollica, V. & Walter, T. (2003). Asymmetric price behavior surrounding block trades: A market microstructure approach. Working Paper. University of Sydney.
Gregoriou, A. (2008). The asymmetry of the price impact of block trades and the bid-ask spread. Journal of Economic Studies, 35(2): 191– 199.
Ibikunle, G. (2013). Price impact of block trades: New evidence from downstairs trading on the world's largest Carbon exchange, Available at
Kraus, A. & Stoll, H. R. (1972). Price impacts of block trading on the New York Stock Exchange. Journal of Finance, 27(3): 569– 588.
Kurek, B. (2014). The information content of equity block trades on the Warsaw stock exchange: An estimation of shares' returns with the usage of simple linear regression and multivariate adaptive regression splines. Journal of Forecasting Financial Markets, 33(6): 433– 454.
Saar, G. (2001). Price impact asymmetry of block trades: An institutional trading explanation. Review of Financial Studies, 14(4): 1153– 1181.