PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
复制标题
DOI：
10.1111/j.1540-6261.1972.tb00985.x
复制
发表时间：
1972-06
影响因子：
8
通讯作者：
A. Kraus;H. Stoll
中科院分区：
文献类型：
--
作者：
A. Kraus;H. Stoll
在一个有效的市场中，价格反映了潜在的价值。这确保了将新资金适当地分配到经济中生产率最高的领域。此外，个人投资者受益于知道他们交易的价格不受与公司潜在价值几乎或根本没有关系的力量的影响。过去已经进行了广泛的实证测试，这些测试往往支持股票市场的效率。然而，直到最近，还没有进行测试来直接评估机构投资者对股票市场效率的影响2本文的目的是检查机构投资者的大宗交易对有效市场的贡献或减损的程度。大宗交易可以被定义为涉及比拍卖市场正常过程中容易处理的数量更多的股票的交易。
IN AN EFFICIENT market, prices reflect underlying values. This insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by knowing that prices at which they trade are not subject to forces which have little or nothing to do with the underlying value of the company. Extensive empirical tests which tend to support the efficiency of the stock market have been carried out in the past.' Until recently, however, no tests have been carried out to assess directly the impact of institutional investors on the efficiency of the stock market.2 The purpose of this paper is to examine the extent to which block trading by institutional investors contributes to or detracts from efficient markets. A block trade can be defined as a transaction involving a larger number of shares than can readily be handled in the normal course of the auction market.