We empirically examine the price impact of block trades, in the Saudi Stock Market over\udthe time period of 2005-2008. Using a unique dataset of intraday data consisting of 2.3\udmillion block buys and 1.9 million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bidask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry n the price impact of large trades.
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