显微镜下：持续披露市场中围绕盈利和收购公告的交易启动活动

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2024-11-08 DOI:10.1016/j.gfj.2024.101054

Priyantha Mudalige , Petko S. Kalev

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引用次数: 0

摘要

在澳大利亚证券交易所（ASX）这个持续披露的市场上，我们研究了盈利和收购公告的发布时间对交易启动动机的影响。这项研究使用了 S&P/ASX50 指数成分股的盘中高频数据，并衡量了公告发布前后的市场两面性，从而推断出交易启动动机。我们发现，在连续交易时段内：(i) 在双面市场中，投资者会在交易时段内公告发布前启动买入和卖出交易；(ii) 在单面市场中，投资者会在公告发布后执行买入或卖出交易。我们的结果表明，差异信息可能是在公告发布前启动交易的动机。最后，我们的结果表明，在连续交易时段发布的公告能更有效地控制信息泄露。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Under the microscope: Trade initiation activities around earnings and takeover announcements in a market with continuous disclosure

We examine the impact of the release time of earnings and takeover announcements on trade initiation motives on the ASX — a market with continuous disclosure. This investigation uses intraday high-frequency data of the constituent stocks of the S&P/ASX50 index and measures market sidedness around the announcements to infer trade initiation motives. We find that during a continuous trading session: (i) in a two-sided market, investors initiate both buy and sell trades just before announcements are released during trading sessions, and (ii) in a one-sided market, investors execute either buy or sell trades just after the announcements. Our results suggest that differential information is the likely motive for trade initiation just before the release of announcements. Finally, our results suggest that announcements released during continuous trading sessions are more effective in controlling information leakage.

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来源期刊

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.