This paper examines the price impact of off‐market block trades in futures markets. Consistent with previous literature based on stock markets, a statistically significant price reaction is documented around the time that the trades are executed. This paper extends previous work by documenting a further statistically significant price reaction at the time that block trades are later reported. Contrary to previous research, these findings imply that delaying the reporting of off‐market trades has an impact on markets by delaying the speed of adjustment to the information conveyed by block trades and therefore market price efficiency.

中文翻译：

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场外大宗交易：透明度和信息效率的新证据

本文研究了期货市场上场外大宗交易的价格影响。与基于股票市场的先前文献一致，在执行交易前后记录了统计上显着的价格反应。本文通过记录后来报告大宗交易时进一步的具有统计意义的价格反应，扩展了以前的工作。与先前的研究相反，这些发现暗示延迟场外交易的报告会延迟大宗交易所传达信息的调整速度，进而影响市场价格效率，从而对市场产生影响。