The Study of Announcement Effect of Block Transfers: Evidence from China after Equity Splitting Reform

Based on two scenarios, bullish and bearish market, this paper examines the announcement effect of block transfers, using equity transfers information disclosed by 175 firms listed on China´s stock markets from October 2006 to October 2008. We find that Cumulative Abnormal Returns (CARs) positively correlate with the block purchases percentage of tradable shares, but negatively correlate with the block sells percentage of tradable shares. Market reaction to information announced on block transfers is more stronger than transfers conduct. Market-specific price impact asymmetry exists in Chinese equity market. Stocks price has been manipulated by block sellers before the transfers announced day.