The supply and demand effect of block transactions on share prices

Abstract

The effect of supply and demand on the pricing of shares was investigated by analysing block transactions on the JSE. A sample of 291 block transactions was selected from the period 1 June 1993 to 1 June 1994 from the Financial and Industrial sectors and analysed using an event time methodology. The study compares the reaction of share prices of large block transactions with the expected price, as predicted using the market model. The analysis period covered twenty days before and twenty days after the block transaction.