| Summary: | This study aims to show the price-impact asymmetry between block transactions initiated
by buyers and those initiated by sellers. Price impact of buyer-initiated transaction is
greater than that of seller-initiated. The reaction direction of buyer-initiated transaction is
continuous and that of seller-initiated is reversal. The market condition factor influences
the price-impact asymmetry. When the market goes up, the price impact of buyerinitiated
transaction is greater than that of seller-initiated. In contrast when market
conditions go down, the price impact of seller-initiated transaction is greater than that of
buyer-initiated transaction. Foreign investors have greater impact than domestic
investors. Based on the transaction per transaction, this study also examined how quickly
prices adjust to block transactions. It took at least one transaction before the price reaches
an equilibrium, for both buyer and seller initiated transactions. By using the transactionper-
transaction basis the results obtained are that the reaction of buyer-initiated
transaction is continuous and that of seller-initiated transactions is reversal. In addition to
focusing on the price impact asymmetry, this study also considers some of the variables
that influence the price-impact. By using regression method, in addition to market
conditions, investor type and company size, other variables that also influence the price
impact are return variability and the difficulty level of the transaction.
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