Company responses to exchange queries in real time

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

Pacific-Basin Finance Journal, 2017, vol. 45, issue C, 116-141

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 20minutes, 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.

Keywords: Unexplained trading; Query announcement; Event study (search for similar items in EconPapers)
JEL-codes: D82 G14 G18 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:45:y:2017:i:c:p:116-141

DOI: 10.1016/j.pacfin.2016.08.003

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