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The intraday impact of company responses to exchange queries

Author

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  • Drienko, Jozef
  • Sault, Stephen J.

Abstract

This study investigates Australia’s unique continuous disclosure regime using intraday data on the Australian Securities Exchange (ASX) over the period January 2010–April 2012. We examine abnormal returns and trading volumes that accrue to shareholders immediately after an announcement responding to a trading induced query. The use of intraday data permits us to examine the direct impact of these events, and the length of time the market takes to incorporate this information with a higher degree of precision than the research currently on offer. The study is framed within an event study methodology, with a number of robustness measures: a matched sample approach; analysis of cross-sectional determinants; the removal of penny stocks; and, procedures to account for sample selection bias. We find significant share price reversals following a query announcement, with a reversal of 3.3% by the end of the widest event interval. Our study also provides evidence that the market takes up to 60min to impound this information. Overall, we provide support for the efficacy of the query framework administered by the ASX.

Suggested Citation

  • Drienko, Jozef & Sault, Stephen J., 2013. "The intraday impact of company responses to exchange queries," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4810-4819.
  • Handle: RePEc:eee:jbfina:v:37:y:2013:i:12:p:4810-4819
    DOI: 10.1016/j.jbankfin.2013.08.011
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    References listed on IDEAS

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    11. Jozef Drienko & Stephen J. Sault, 2011. "The impact of company responses to exchange queries on the Australian equity market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(4), pages 923-945, December.
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    Cited by:

    1. Bank, Matthias & Baumann, Ralf H., 2016. "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, vol. 37(C), pages 629-645.
    2. repec:eee:pacfin:v:45:y:2017:i:c:p:116-141 is not listed on IDEAS
    3. Alexandre de Carvalho & Alberto Sanyuan Suen & Felippe Gallo, 2016. "Market Efficiency in Brazil: some evidence from high-frequency data," Working Papers Series 431, Central Bank of Brazil, Research Department.

    More about this item

    Keywords

    Exchange query announcements; Continuous disclosure regime; Event study;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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