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Company responses to exchange queries in real time

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dc.contributor.authorDrienko, Jozef
dc.contributor.authorSault, Stephen
dc.contributor.authorvon Reibnitz, Anna
dc.date.accessioned2021-05-26T01:17:27Z
dc.date.issued2017
dc.date.updated2020-11-23T10:20:25Z
dc.description.abstractWe 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.en_AU
dc.description.sponsorshipWe are grateful for financial support from the Accounting and Finance Association of Australia and New Zealand. We acknowledge the support of SIRCA in providing access to the intraday data required for this researchen_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0927-538Xen_AU
dc.identifier.urihttp://hdl.handle.net/1885/233795
dc.language.isoen_AUen_AU
dc.publisherElsevieren_AU
dc.rights© 2016 Elsevier B.V.en_AU
dc.sourcePacific-Basin Finance Journalen_AU
dc.subjectUnexplained tradingen_AU
dc.subjectQuery announcementen_AU
dc.subjectEvent studyen_AU
dc.titleCompany responses to exchange queries in real timeen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.lastpage141en_AU
local.bibliographicCitation.startpage116en_AU
local.contributor.affiliationDrienko, Jozef, College of Business and Economics, ANUen_AU
local.contributor.affiliationSault, Stephen, College of Business and Economics, ANUen_AU
local.contributor.affiliationvon Reibnitz, Anna, College of Business and Economics, ANUen_AU
local.contributor.authoruidDrienko, Jozef, u4179507en_AU
local.contributor.authoruidSault, Stephen, u4025336en_AU
local.contributor.authoruidvon Reibnitz, Anna, u4224491en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor150201 - Financeen_AU
local.identifier.ariespublicationa383154xPUB9929en_AU
local.identifier.citationvolume45en_AU
local.identifier.doi10.1016/j.pacfin.2016.08.003en_AU
local.identifier.scopusID2-s2.0-85042141460
local.publisher.urlhttps://www.elsevier.com/en-auen_AU
local.type.statusPublished Versionen_AU

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