Off-market block trades: New evidence on transparency and information efficiency

摘要

This paper examines the price impact of off-market block trades in futures markets. Consistent with previous literature based on stock markets, 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.