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An Analysis of ASX Price Queries
Author(s) -
Marsden Alastair,
Poskitt Russell
Publication year - 2009
Publication title -
australian accounting review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.551
H-Index - 36
eISSN - 1835-2561
pISSN - 1035-6908
DOI - 10.1111/j.1835-2561.2009.00059.x
Subject(s) - receipt , stock price , shareholder , monetary economics , stock exchange , business , stock (firearms) , institutional investor , speculation , danish , period (music) , economics , accounting , finance , series (stratigraphy) , corporate governance , mechanical engineering , paleontology , linguistics , philosophy , engineering , biology , physics , acoustics
This study examines ‘no news’ responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre‐query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a ‘no news’ response by a company in receipt of a price query. Second, the adverse selection component of market spreads rise during the immediate pre‐query period and then decline following the company response. Last, the mean level of institutional shareholder ownership increases in the period immediately prior to an ASX query of a price increase.