We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005–2008. Using a unique dataset of intraday data consisting of 2.3million block buys and 1.9million block sales, we find an asymmetry in the price impact of block purchases and sales....

This paper examines the price impact of block trades for all listed firms in the Saudi stock market (SSM) using high frequency data. We find an asymmetric price impact for block trades of 0.5% for block purchases and −0.38% for block sales. However, on average, the price effect of a block...