Company responses to exchange queries in real time

Jozef Drienko*, Stephen J. Sault, Anna H. von Reibnitz

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)116-141
    Number of pages26
    JournalPacific Basin Finance Journal
    Volume45
    DOIs
    Publication statusPublished - Oct 2017

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