Trading volume and information asymmetry surrounding scheduled and unscheduled announcements : a thesis submitted in partial fulfillment of the requirements for the degree of Master of Finance, Massey University, Februrary 2009

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dc.contributor.authorChi, Wei
dc.date.accessioned2009-10-08T00:52:04Z
dc.date.availableNO_RESTRICTIONen_US
dc.date.available2009-10-08T00:52:04Z
dc.date.issued2009
dc.description.abstractThis thesis investigates abnormal trading volume around scheduled and unscheduled announcements. The research is an extension of Chae (2005), Journal of Finance, Vol 60, which tests corporate announcements in the US stock market. In this thesis, Australian stocks are used to establish whether market characteristics affect trading behaviour around announcements. In addition, I extend the traditional methodology to overcome possible shortcomings in the previous studies. This thesis also discusses how information asymmetry affects the abnormal trading volume on the announcement day. In contrast to earlier studies, I nd abnormal trading volume does not change before either scheduled or unscheduled announcements, but, as expected, increases on and after the scheduled and unscheduled announcements. Information asymmetry increases trading volumes when unscheduled announcements are made, but has no effect for scheduled announcements. I show that the failure to adjust for the correlation between corporate events, results in abnormal trading volumes being detected prior to announcements. Differences between the Australian and US results can not all be explained by methodological differences. It appears that the underlying dynamics of the Australian market are different; casting doubts on the ability to generalize market characteristics from US based studies on abnormal trading volumes.en_US
dc.identifier.urihttp://hdl.handle.net/10179/1032
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectEffect of announcements on trading volumeen_US
dc.subjectAustralian stock marketen_US
dc.subject.otherFields of Research::340000 Economics::340200 Applied Economics::340203 Finance economicsen_US
dc.titleTrading volume and information asymmetry surrounding scheduled and unscheduled announcements : a thesis submitted in partial fulfillment of the requirements for the degree of Master of Finance, Massey University, Februrary 2009en_US
dc.typeThesisen_US
massey.contributor.authorChi, Wei
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Finance (M.Fin.)en_US
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