文章基本信息

标题：Surveying Price impact of block trades in the Iran stock market
本地全文：下载
作者：Ahmad Ahmadpour ; mehrab nasiri
期刊名称：Financial Research
印刷版ISSN：1024-8153
电子版ISSN：2423-5377
出版年度：2016
卷号：18
期号：1
页码：23-38
出版社：University of Tehran Electronic Journals Database
摘要：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.
关键词：Price Impact;information asymmetry;block trades and stock liquidity