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Adverse Selection Costs and Trading Volume Surrounding Announcements in Australia
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Abnormal trading volumes around scheduled and unscheduled announcements are investigated and Australian stocks are used to establish whether market characteristics affect trading behavior around announcements. In contrast to the results of earlier studies which mainly focus on the U.S. market, abnormal trading volumes do not occur on the Australian Securities Exchange (ASX) before either scheduled or unscheduled announcements, but, as expected, increase on and after scheduled and unscheduled announcements. Adverse selection costs increase trading volumes when unscheduled announcements are made, but has no effect after scheduled announcements. Failure to adjust for the correlation between corporate events results in abnormal trading volumes being detected prior to announcements.
Title: Adverse Selection Costs and Trading Volume Surrounding Announcements in Australia
Description:
Abnormal trading volumes around scheduled and unscheduled announcements are investigated and Australian stocks are used to establish whether market characteristics affect trading behavior around announcements.
In contrast to the results of earlier studies which mainly focus on the U.
S.
market, abnormal trading volumes do not occur on the Australian Securities Exchange (ASX) before either scheduled or unscheduled announcements, but, as expected, increase on and after scheduled and unscheduled announcements.
Adverse selection costs increase trading volumes when unscheduled announcements are made, but has no effect after scheduled announcements.
Failure to adjust for the correlation between corporate events results in abnormal trading volumes being detected prior to announcements.
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