The impact of company responses to exchange queries on the Australian equity market

Jozef Drienko; Stephen J. Sault

doi:10.1111/j.1467-629X.2010.00372.x

The impact of company responses to exchange queries on the Australian equity market

Jozef Drienko^*, Stephen J. Sault

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

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.

Original language	English
Pages (from-to)	923-945
Number of pages	23
Journal	Accounting and Finance
Volume	51
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-629X.2010.00372.x
Publication status	Published - Dec 2011

Access to Document

10.1111/j.1467-629X.2010.00372.x

Cite this

@article{aaebe0bc6fdc46b9b4035e927f15b074,

title = "The impact of company responses to exchange queries on the Australian equity market",

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.",

keywords = "Event study, Exchange query announcement, Matched firm approach",

author = "Jozef Drienko and Sault, {Stephen J.}",

year = "2011",

month = dec,

doi = "10.1111/j.1467-629X.2010.00372.x",

language = "English",

volume = "51",

pages = "923--945",

journal = "Accounting and Finance",

issn = "0810-5391",

publisher = "Wiley-Blackwell",

number = "4",

}

TY - JOUR

T1 - The impact of company responses to exchange queries on the Australian equity market

AU - Drienko, Jozef

AU - Sault, Stephen J.

PY - 2011/12

Y1 - 2011/12

N2 - 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.

AB - 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.

KW - Event study

KW - Exchange query announcement

KW - Matched firm approach

UR - http://www.scopus.com/inward/record.url?scp=80155181449&partnerID=8YFLogxK

U2 - 10.1111/j.1467-629X.2010.00372.x

DO - 10.1111/j.1467-629X.2010.00372.x

M3 - Article

SN - 0810-5391

VL - 51

SP - 923

EP - 945

JO - Accounting and Finance

JF - Accounting and Finance

IS - 4

ER -

The impact of company responses to exchange queries on the Australian equity market

Abstract

Access to Document

Other files and links

Fingerprint

Cite this