Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange

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MEHRABANPOUR MOHAMMADREZA; TEHRANI REZA; JAMSHIDI HAMID

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Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:1 (28) Page(s): 1-22

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Title

Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange

Author(s)

MEHRABANPOUR MOHAMMADREZA | TEHRANI REZA | JAMSHIDI HAMID | Issue Writer Certificate

Keywords

Block tradeQ1

Block holderQ1

Abnormal returnsQ1

Idiosyncratic VolatilityQ1

Abstract

Objective: Block trade is a significant part of stock exchange transactions. They involve trading a large volume of stocks at agreed prices that usually differ from the volatile and spot market prices. The large volume of Block trade has pushed academics to conduct a wide range of researches in this area. The main goal of this paper is to study the information content of Block trade. Method: For the above purpose, gathered data from 208 Block trades in the Tehran Stock Exchange during the years of 2008-2016 were analyzed by the event study method. The results indicate that those Block trades are influential indicators for investors engaged in the stock exchange. Results: Evidence shows that after premium and controlled Block trades, there exist significant cumulative Abnormal returns. Overall, such cumulative Abnormal returns imply the abnormal shareholder response to the Block trades. The results also demonstrate there are significant reductions in Idiosyncratic Volatility following Block trades

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APA: Copy

MEHRABANPOUR, MOHAMMADREZA, TEHRANI, REZA, & JAMSHIDI, HAMID. (2020). Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(1 (28) ), 1-22. SID. https://sid.ir/paper/403729/en

Vancouver: Copy

MEHRABANPOUR MOHAMMADREZA, TEHRANI REZA, JAMSHIDI HAMID. Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(1 (28) ):1-22. Available from: https://sid.ir/paper/403729/en

IEEE: Copy

MOHAMMADREZA MEHRABANPOUR, REZA TEHRANI, and HAMID JAMSHIDI, “Analyzing the Role of Block Trade in Generating Abnormal Returns and Impact in Idiosyncratic Volatility in Tehran Stock Exchange,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 1 (28) , pp. 1–22, 2020, [Online]. Available: https://sid.ir/paper/403729/en

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