中文摘要：

本文利用沪深交易所2007年1月至2008年12月股票交易的高频数据，研究不同市场环境（牛市和熊市）下大额交易对不同类型股票的流动性影响和价格冲击效应。在不同市场环境下，大额交易的价格冲击和市场深度冲击存在差异；对于不同特征的股票，大额交易也存在不对称的价格冲击效应和市场深度冲击效应。具体表现为：大市值活跃股的大额交易价格冲击效应和市场深度冲击较小；而小市值不活跃股的价格冲击效应和市场深度冲击效应较大；熊市环境下的价格冲击大于牛市环境的价格冲击，且熊市的大额交易存在更明显的信息驱动特征；熊市环境大额买单的市场深度冲击较小，牛市环境的大额卖单的市场深度冲击较小。同时我们还发现，在典型的牛市和熊市环境下，其流动性明显低于常市，因此在这种市场环境下更宜采取拆分大单的方式完成大额交易。

英文摘要：

Using the high-frequency data of the block trades in Chinese stock markets during the period of January 2007 through December 2008, this paper investigates the price response of block trades on different types of stocks and changes of limit order book surrounding block trades in different market situations （typical bear market or typical bull market）. The result shows that, there is an asymmetry on the price response and changes of market depth among these types of stocks. Large-market-value active stocks have smaller large-transaction price impact effect and market depth impact; while the small-market-value stocks are on the contrary; price impact is bigger under bear market than in the bull market, and block trades in bear market have more obvious information driven characteristics; buy orders have smaller market depth impact in bear market, and sell orders have smaller market depth impact in bull market. Moreover, we also find that in the bull or bear market, the liquidity is much lower than that in the ordinary market condition, therefore, block trades should be split.