Off‐market block trades: New evidence on transparency and information efficiency
研究了期货市场场外大宗交易的价格影响，发现交易执行时和报告时均有显著价格反应，表明延迟报告会减缓信息调整速度，损害市场效率。
Abstract 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.