Company responses to exchange queries in real time

被引：5

作者：

Drienko, Jozef ^{[1
]}

Sault, Stephen J. ^{[1
]}

von Reibnitz, Anna H. ^{[1
]}

机构：

[1] Australian Natl Univ, Coll Business & Econ, Res Sch Finance Actuarial Studies & Stat, GPO Box 4, Canberra, ACT 2601, Australia

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2017年 / 45卷

关键词：

Unexplained trading; Query announcement; Event study; EQUITY MARKET; EVENTS; IMPACT; ASK;

D O I：

10.1016/j.pacfin.2016.08.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the efficacy of exchange queries in assisting to explain anomalous trading behaviour in a timely manner. Using intraday data for a sample of liquid stocks, we find consistent price reversals after firms respond to the query by labelling the pre-announcement trading activity as unsubstantiated. The information contained in this unanticipated announcement is impounded within 20 minutes, preceded by a transition period of heightened trading intensity, wider spreads and shifting order book depth. Overall, this study finds that queries enhance the orderly flow of information and reduce information asymmetry. Exchanges in other countries should consider their use. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：116 / 141

页数：26

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