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Off‐market block trades: New evidence on transparency and information efficiency
Author(s) -
Frino Alex
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22180
Subject(s) - transparency (behavior) , block (permutation group theory) , futures contract , market efficiency , economics , financial economics , market price , futures market , efficient market hypothesis , stock market , market microstructure , business , monetary economics , microeconomics , order (exchange) , finance , computer science , mathematics , geography , geometry , computer security , context (archaeology) , archaeology
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.