Off-Market Block Trades: New Evidence on Transparency and Information Efficiency

28 Pages Posted: 11 Mar 2020

Date Written: December 10, 2019

Abstract

This paper examines the price impact of off-market block trades in futures markets. Consistent with previous literature based on stock markets [Gemmill, 1996, Journal of Finance], a statistically significant price reaction is documented around the time that the trades are executed. This paper extends previous work by documenting a further statistically significant price reaction at the time that block trades are later reported. Contrary to previous research, these findings imply that delaying the reporting of off-market trades has an impact on markets by delaying the speed of adjustment to the information conveyed by block trades and therefore market price efficiency.

Note: This Research is funded by the ASX under Corporations regulation 7.5.88 through the use of excess funds from the Sydney Futures Exchange Fidelity Fund.

Keywords: Block trades, market microstructure, futures markets, market efficiency

JEL Classification: C73, D81, G13

Suggested Citation

Frino, Alex, Off-Market Block Trades: New Evidence on Transparency and Information Efficiency (December 10, 2019). Available at SSRN: https://ssrn.com/abstract=3540621 or http://dx.doi.org/10.2139/ssrn.3540621

Alex Frino (Contact Author)

University of Wollongong ( email )

Northfields Avenue
Wollongong, New South Wales 2522
Australia

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