Abnormal Trading Volume (abnormal + trading_volume)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Price and Volume Behavior around the Ex-dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks,

INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2008
AELEE JUN
ABSTRACT Australian residents are tax-advantaged, relative to American investors, in their access to imputation tax credits on Australian stocks. This paper provides evidence consistent with a difference in dividend valuations between Australian stocks and their American Depositary Receipts (ADRs). The ex-dividend drop-off ratio is lower for ADRs relative to their underlying Australian stocks and this difference is most pronounced for stocks that have imputation tax credits and high dividend yields. Consistent with dividend capture trading in the Australian market, the difference in drop-off ratios is driven by both temporarily higher Australian cum-prices and temporarily lower Australian ex-prices. Abnormal trading volume about the ex-day is present in both markets and in the Australian market the abnormal volume is greater for dividends with imputation tax credits. Dividend-related trading leads to price differences across the markets on the ex-dividend day. Price differences are also observed when the stock and the ADR trade with different dividend entitlements due to different ex-dividend dates. [source]

Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation

ECONOMIC NOTES, Issue 3 2006
Fayez A. Elayan
We examine the stock market reaction to 1227 inter-corporate ordinary business contract announcements reported by Dow Jones between January 1, 1990 and December 31, 2001. Around contract announcement dates, we find statistically significant positive average abnormal returns and abnormal trading volume for contractors, but insignificant positive abnormal returns and negative abnormal volume for contractees. Cross-sectionally, contract announcement period returns are higher for contractors who are small relative to the contract size, have higher return volatility, larger market-to-book ratios and higher profitability. The announcement period returns of contract-awarding firms are not significant and are only marginally related to cross-sectional explanatory factors. The results are consistent with two explanatory stories: contractor quasi-rents induced by the winner's curse and information signalling about contractor production costs. The results are not consistent with perfect competition, with contracts having positive net present values for both parties, and with a version of incomplete contracting theory. [source]

Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market

FINANCIAL REVIEW, Issue 2 2001
Narayanan Jayaraman
G14/G34 Abstract This paper provides empirical evidence on the level of trading activity in the stock options market prior to the announcement of a merger or an acquisition. Our analysis shows that there is a significant increase in the trading activity of call and put options for companies involved in a takeover prior to the rumor of an acquisition or merger. This result is robust to both the volume of option contracts traded and the open interest. The increased trading suggests that there is a significant level of informed trading in the options market prior to the announcement of a corporate event. In addition, abnormal trading activity in the options market appears to lead abnormal trading volume in the equity market. This finding supports the hypothesis that the options market plays an important role in price discovery. [source]

Market reaction to takeover rumour in Internet Discussion Sites

ACCOUNTING & FINANCE, Issue 1 2006
Peter M. Clarkson
G14 Abstract We examine the market reaction to takeover rumour postings in the Hotcopper Internet Discussion Site (IDS). Results from the interday analysis show abnormal returns and trading volumes on the day before and the day of the posting. Results of the intraday analysis show abnormal returns and trading volumes during the 10 min posting interval and abnormal trading volume during the 10 min interval immediately preceding it. Sensitivity analyses indicate that the results are robust to concerns regarding potential confounds, credibility and bid,ask spread bias. Taken together, these findings are consistent with the market reacting to the posting of takeover rumours in IDS. [source]

Information technology and its impact on stock returns and trading volume

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2010
Uri Benzion
Abstract This study investigates the impact of information technology on common stock returns and trading volume. By focusing mainly on the peak period of the hi-tech phenomenon, the findings imply that the market response to website launching is positive. During the event day and the two preceding days, the abnormal stock return and the abnormal trading volume both are positive and statistically significant. In particular, the impact is stronger for non-US firms than for domestic companies, for initial rather than subsequent site launches, for those sites that are launched on Monday rather than on other days of the week, and for innovative industries such as electronics and computers. As expected, while the launch of a website had a stronger effect at the beginning of the hi-tech phenomenon, the impact has diminished in later years. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Expiration day effects: The case of Hong Kong

THE JOURNAL OF FUTURES MARKETS, Issue 1 2003
Ying-Foon Chow
Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:67,86, 2003 [source]