Asymmetric Price Behavior Surrounding Block Trades in China's Stock Market

Empirical analysis is carried out aiming at elimination of errors in sample system with matching technology,asymmetry in price impact and the relationship between this asymmetry and market condition under different situations in China's securities market.The results indicate that: Asymmetries in Price impact of block trade are significant,which is associated with market condition.In bull market,block purchase has a bigger price impact than block sale,while in bear markets,vice versa.