The impact of equity block trade transactions on security prices. Evidence from Poland
The impact of equity block trade transactions on security prices. Evidence from Poland

Summary/Abstract: Equity block trade transactions are executed outside the continuous trading system and the single price system and involve trading of large volumes of shares at an agreed price. There are companies which shares are recurrently the object of block trading activity. The continuous overload of one particular type of information relating to these shares – block trade prices, which may even be dissimilar during the same day – might result in a signal of a zero value to individual investors, even in periods in which block trading activity is rare. In the study I investigate the information content of one particular event – equity block trade transactions. Equity block trade transactions were randomly chosen. Each transaction relates to a company which is included in the WIG 20 index. This particular index gathers 20 biggest companies listed on the Warsaw Stock Exchange (Poland). Shares of these companies are persistently the object of equity block transfers. Two research methods are used: the first being the analysis of the literature and the second one being event study analysis. The applied event study is based on daily stock returns. The estimation window is 50 days long (days prior to the event window). The event window comprises of 1 pre-event day, the announcement day, and 1 post-event day. The single factor market model is used to calculate the normal return. The source of the data is Warsaw Stock Exchange and Emerging Markets Information Systems.

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