The Impact of Company Responses to Exchange Queries on the Australian Equity Market
Date
2011
Authors
Drienko, Jozef
Sault, Stephen
Journal Title
Journal ISSN
Volume Title
Publisher
Blackwell Publishing Ltd
Abstract
This study examines the impact of company responses to trading-induced queries made by the Australian Securities Exchange over the period January 2007-December 2008, inclusive. We utilise event study methodology and a matched sample approach to assess the impact of trading query announcements. We use multivariate analysis to investigate any cross-sectional determinants affecting abnormal returns and volume, and find significant positive shareholder wealth and volume effects associated with query announcements. Further, the unexplained abnormal returns observed prior to the announcement of the trading query persist post-announcement. Subsequent analysis reveals the industry effect reported in the literature loses significance after accounting for sample selection bias.
Description
Keywords
Keywords: Event study; Exchange query announcement; Matched firm approach
Citation
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Source
Accounting and Finance
Type
Journal article
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Restricted until
2037-12-31