An empirical study on the impact of the Block Trades on implicit transaction costs in China's stock market

摘要

Based on the theory on market microstructure, this paper makes an empirical study on the impact of the Block Trades on implicit transaction costs with high frequency data. It comes out that implicit transaction costs increased abnormally a few days before the day of block trade. Besides, the event of block trade has no significant influence on the short-term implicit transaction costs at the opening time, while it only significantly affects the implicit transaction costs in the period of 10:00–11:00 in the event window of 1. According to the above conclusions, this paper proposes some policy recommendations for the block trading system of stock market.