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

Source

Accounting and Finance

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until

2037-12-31